Mathematics For Engineers III

1.
Module Title: MATHEMATICS FOR ENGINEERS III (MAT 2165 )

2. Level: 2 Semester: 1 Credits: 10
3. First year of presentation: 2014 Administering School: Sciences.
Pre-requisite or co-requisite modules, excluded combinations: Eng Math I and II
5.1 Brief description of aims and content
The Module aims to introduce students to the various properties and definitions of Fourier
series, Partial Differential Equations and basic Probability and Statistics. The module will
deal with these topics at a basic level, leaving more advanced techniques to the specialist
courses in Engineering.
5.2 LEARNING OUTCOMES
1. Knowledge and Understanding
Having successfully completed the module, students should be able to demonstrate
knowledge and understanding of:
1.1 Simple Fourier series and partial differential equations and the basics of
probability and statistics.
1.2 The implications of the basic mathematical theories.
2. Cognitive/Intellectual skills/Application of Knowledge
2.1 Present simple arguments and conclusions using the mathematical theories.
2.2 Analyse and evaluate problems in mathematics and engineering.
3. Communication/ICT/Numeracy/Analytic Techniques/Practical Skills
Having successfully completed the module, students should be able to:
3.1 Apply the mathematical knowledge to solve problems in range of
Engineering situations.
3.2. Carry out mathematical and numerical manipulation with confidence and
accuracy.
4. General transferable skills
Having successfully completed the module, students should be able to:
4.1 Assimilate Abstract Ideas.
4.2 Communicate information having a mathematical content.
Mathematics for Engineers III Prepared by Jean de Dieu NIYIGENA Page 1
6. INDICATIVE CONTENT
Unit I Fourier series and Introduction to Fourier Transforms
1.1. Fourier series expansion
1.2. Fourier transform
Unit II Partial Differential Equations including Boundary Value Problems
2.1. Formulation and Solution of standard types of first order equations
2.2. Lagrange’s equation
2.3. Linear Homogeneous partial differential equations of second order with constant
coefficients.
2.4. Classification of second order linear partial differential equations
2.5. Solutions of one–dimensional wave equation, one-dimensional heat equation.
Unit III Introduction to Probability and Statistics
3.1. Descriptive Statistics: Measures of Central tendency, Measures of Dispersion and
Measures of Forms.
3.2. Probability: Basic concepts and definition of probability, Conditional probability.
3.3. Probability distributions including Discrete distributions e.g. binomial and Poisson
distributions and Continuous distribution e.g. Normal Distribution.
3.4. Simple linear regression analysis.
7. ASSESSMENT PATTERN: CATS (2): 30%

Assignments (2): 10%
Quizes(2): 10%
Final exam : 50%
8. INDICATIVE RESOURCES
1. Glyn James. (1999). Advanced modern engineering mathematics, 2 nd edition

Addison-Wesley
2. K.A. Stroud. (1996). Further Engineering Mathematics, 3 th edition Macmillan
Press ltd
3. Thomas H., Ronald J. (1977). Introductory Statistics Third edition, New York.
4. Robert V. Hogg. (2006). Probability and Statistical Inference. 7 e edition. New
Jersey
5. Murray R., Larry J.. (1998). Schaum’s outlines Statistics Third Edition. New
York.

Unit I FOURIER SERIES AND INTRODUCTION TO FOURIER TRANSFORMS
1.0.Introduction
Mathematicians of the eighteenth century, including Daniel Bernoulli and Leonard Euler,
expressed the problem of the vibratory motion of a stretched string through partial
differential equations that had no solutions in terms of ‘elementary functions’. Their
resolution of this difficulty was to introduce infinite series of sine and cosine functions that
satisfied the equations. In the early nineteenth century, Joseph Fourier, while studying the
problem of heat flow, developed a cohesive theory of such series. Consequently, they were
named after him. One important advantage of Fourier series is that it can represent a
function containing discontinuities, whereas Maclaurin’s and Taylor’s series require the
function to be continuous throughout. Fourier series and Fourier transform are investigated
in this chapter.
1.1. Fourier series expansion
In this section we develop the Fourier series expansion of periodic functions, Dirichlet’s
conditions, Half range sine and Cosine series.
1.1.1. Periodic functions
A function 𝑓(𝑥)is said to have a period T or to be periodic with period T if for all 𝑥, 𝑓(𝑥) =
𝑓(𝑥 + 𝑇), where T is a positive constant. The least value of T > 0 is called the least period
or simply the period of 𝑓(𝑥). Specifically, a function f is periodic with period. Specifically,
a function f is periodic with period T if the graph of f is invariant under translation in the
x-direction by a distance of T. A function that is not periodic is called aperiodic.
Examples 1:

1. The function 𝑠𝑖𝑛 𝑥 has periods 2𝜋; 4𝜋; 6𝜋; ...; since 𝑠𝑖𝑛 (𝑥 + 2𝜋) ; 𝑠𝑖𝑛 (𝑥 + 4𝜋) ;
𝑠𝑖𝑛 (𝑥 + 6𝜋) ; ... all equal 𝑠𝑖𝑛 𝑥. However, 2𝜋 is the least period or the period of
𝑠𝑖𝑛 𝑥.
A graph of the sine function, showing two complete periods.
For example, the sine function is periodic with period 2π, since ;
for all values of x. This function repeats on intervals of length 2π
2. The period of 𝑠𝑖𝑛 𝑛𝑥 or 𝑐𝑜𝑠 𝑛𝑥, where n is a positive integer, is 2𝜋 ⁄𝑛.
3. The period of 𝑡𝑎𝑛 𝑥 𝑖𝑠 𝜋.
4. A constant has any positive number as period .
5. Everyday examples are seen when the variable is time; for instance the hands of a
clock or the phases of the moon show periodic behaviour. Periodic motion is
motion in which the position(s) of the system are expressible as periodic functions,
all with the same period.
If we have the following periodic function 𝑦 = 𝐴 sin 𝑛𝑥, then 𝐴 is an amplitude;

3600 2𝜋
period= = , n cycles in 360 0.The graphs of 𝑦 = 𝐴 cos 𝑛𝑥 have the same
𝑛 𝑛
characteristics.

Examples 2: Determine the amplitude and the period of the following periodic function
𝑥 2𝑥
a) 𝑦 = 3 sin 5𝑥 b) 𝑦 = sin c) 𝑦 = 6 sin
2 3
Answers:
No Amplitude Period
a) 3 2𝜋⁄
5
b) 1 4𝜋
c) 6 3𝜋
1.1.2. Harmonics
A function 𝑓(𝑥) is sometimes expressed as a series of a number of different sine
components. The component with the largest period is the first harmonic, or fundamental
of 𝑓(𝑥).
𝑦 = 𝐴1 sin 𝑥 is the first harmonic or fundamental
𝑦 = 𝐴2 sin 2𝑥 is the second harmonic
𝑦 = 𝐴3 sin 3𝑥 is the third harmonic
And in general
3600 2𝜋
𝑦 = 𝐴𝑛 sin 𝑛𝑥 is the n th harmonic, with amplitude 𝐴𝑛 , and period = =
𝑛 𝑛
1.1.3. Non-sinusoidal periodic functions

A function can be periodic without being obviously sinusoidal in appearance.
Examples 3:
a)

b)
1.1.4. Analytical description periodic function

Example 4:
𝑥, 0 < 𝑥 < 2
𝑓 (𝑥) = { 𝑥
3− , 2<𝑥 <6
2
𝑓(𝑥) = 𝑓(𝑥 + 6)
EXERCISE 1.1
1. Sketch the graphs of the following, inserting relevant values
4, 0 < 𝑥 < 5
3𝑥 − 𝑥 2 , 0 < 𝑥 < 3
a) 𝑓 (𝑥) = {0, 5 < 𝑥 < 8 b) 𝑓(𝑥) = {
𝑓 (𝑥 + 3)
𝑓 (𝑥 + 8)
𝑥2
, 0< 𝑥< 4
2 sin 𝑥 , 0 < 𝑥 < 𝜋 4
c) 𝑓 (𝑥) = { 0, 𝜋 < 𝑥 < 2𝜋 c) 𝑓(𝑥) = 4, 4 < 𝑥 < 6
𝑓 (𝑥 + 2𝜋) 0, 6 < 𝑥 < 8
{ 𝑓 (𝑥 + 8)
1.1.5. Fourier ’s theorem and the Fourier coefficients

The theorem states that: ‘A periodic function that satisfies certain conditions which are
Dirichlet conditions can be expressed as the sum of a number of sine functions of different
amplitudes, phases and periods’.
A Fourier series is an expansion of a periodic function 𝑓(𝑥) of period 𝑇 = 2𝜋 ⁄𝑘 in which
the base set is the set of sine functions, giving an expanded representation of the form
∞
𝑓 (𝑥) = 𝐴0 + ∑ 𝐴𝑛 sin(𝑛𝑘𝑥 + ɸ𝑛 ) (2)

𝑛=1
Where 𝐴0 is a constant term

𝐴1 , 𝐴2 , ⋯ , 𝐴𝑛 , ⋯ denote the amplitudes of the compound sine terms
ɸ1 , ɸ2 , ⋯ , ɸ𝑛 , ⋯ are constant auxiliary angles which are called phase angle 𝑛𝑤, which is
The term 𝐴𝑛 sin(𝑛𝑘𝑥 + ɸ𝑛 ) is called the nth harmonic, and it has frequency, which is
𝑛 times that of the fundamental.
Since, 𝐴𝑛 sin (𝑛𝑘𝑥 + ɸ𝑛 ) ≡ (𝐴𝑛 cos ɸ𝑛 ) sin 𝑛𝑘𝑥 + (𝐴𝑛 sin ɸ𝑛 ) cos 𝑛𝑘𝑥
≡ 𝑎 𝑛 cos 𝑛𝑘𝑥 + 𝑏𝑛 sin 𝑛𝑘𝑥
Where 𝑎 𝑛 = 𝐴𝑛 sin ɸ𝑛 , 𝑏𝑛 = 𝐴𝑛 cos ɸ𝑛
The expansion of a function in the form (1) had been used by Bernoulli, D’ Alembert and
Euler to solve problems associated with the vibration of strings. After Fourier postulated
in 1807 that an arbitrary function could be represented by a trigonometric series as
Let 𝑓(𝑥) be defined in the interval (−𝐿, 𝐿 ); and outside of this interval by 𝑓 (𝑥 + 2𝐿) =
𝑓(𝑥) , i.e., 𝑓(𝑥) is 2L-periodic. It is through this avenue that a new function on an infinite
set of real numbers is created from the image on (−𝐿, 𝐿 ). The Fourier series or Fourier
expansion corresponding to 𝑓(𝑥) is given by
∞
𝑎0 𝑛𝜋𝑥 𝑛𝜋𝑥
𝑓 (𝑥) = + ∑ (𝑎 𝑛 cos + 𝑏𝑛 sin ) (2)
2 𝐿 𝐿
𝑛=1
where the Fourier coefficients 𝑎 𝑛 and 𝑏𝑛 are

1 𝐿 𝑛𝜋𝑥
𝑎𝑛 = ∫ 𝑓(𝑥) cos 𝑑𝑥
𝐿 −𝐿 𝐿
∀ 𝑛 = 0, 1, 2, ⋯
1 𝐿 𝑛𝜋𝑥
𝑏𝑛 = ∫ 𝑓 (𝑥) sin 𝑑𝑥
{ 𝐿 −𝐿 𝐿

ORTHOGONALITY CONDITIONS FOR THE SINE AND COSINE FUNCTIONS
Notice that the Fourier coefficients are integrals. These are obtained by starting with the
series, (2), and employing the following properties called orthogonality conditions:
𝐿 𝑚𝜋𝑥 𝑛𝜋𝑥 0, 𝑖𝑓 𝑚 ≠ 𝑛
a) ∫−𝐿 cos cos 𝑑𝑥 = {
𝐿 𝐿 𝐿, 𝑖𝑓 𝑚 = 𝑛
𝐿 𝑚𝜋𝑥 𝑛𝜋𝑥 0, 𝑖𝑓 𝑚 ≠ 𝑛
b) ∫−𝐿 sin sin 𝑑𝑥 = {
𝐿 𝐿 𝐿, 𝑖𝑓 𝑚 = 𝑛
𝐿 𝑚𝜋𝑥 𝑛𝜋𝑥
c) ∫−𝐿 sin cos 𝑑𝑥 = 0,
𝐿 𝐿
Where m and n can assume any positive integer values

Examples 4: Determine the Fourier coefficient 𝑎 0 and 𝑎1 ?
Solution:
a) To determine the Fourier coefficient 𝑎 0, integrate both sides of the Fourier series
(2), i.e.,
𝐿 𝐿 ∞
𝑎 𝑛𝜋𝑥 𝑛𝜋𝑥
∫ 𝑓(𝑥) 𝑑𝑥 = ∫ [ 0 + ∑ (𝑎 𝑛 cos + 𝑏𝑛 sin )] 𝑑𝑥
−𝐿 −𝐿 2 𝐿 𝐿
𝑛=1
𝐿𝐿 ∞
=∫ 𝑑𝑥 + ∫ ∑ (𝑎 𝑛 cos + 𝑏𝑛 sin ) 𝑑𝑥
−𝐿 2 −𝐿 𝐿 𝐿
𝑛=1
𝐿 𝐿 ∞ 𝐿
=∫ (
𝑑𝑥 + ∑ 𝑎 𝑛 ∫ cos 𝑑𝑥 + 𝑏𝑛 ∫ sin 𝑑𝑥)
−𝐿 2 −𝐿 𝐿 −𝐿 𝐿
𝑛=1
𝐿 𝑎0 𝐿 𝑛𝜋𝑥 𝐿 𝑛𝜋𝑥
Since, ∫−𝐿 𝑑𝑥 = 𝑎 0 𝐿, ∫−𝐿 cos 𝑑𝑥 = ∫−𝐿 sin 𝑑𝑥 = 0
2 𝐿 𝐿
𝐿 𝟏 𝑳
Thus, ∫−𝐿 𝑓(𝑥) 𝑑𝑥 = 𝑎 0 𝐿 → 𝒂𝟎 = ∫−𝑳 𝒇 (𝒙) 𝒅𝒙
𝑳
𝜋𝑥
b) To determine 𝑎1 , multiply both sides of (2) by cos and then integrate.
𝐿
𝐿 𝐿 ∞
𝜋𝑥 𝜋𝑥 𝑎 0 𝑛𝜋𝑥 𝑛𝜋𝑥
∫ 𝑓 (𝑥) cos 𝑑𝑥 = ∫ cos [ + ∑ (𝑎 𝑛 cos + 𝑏𝑛 sin )] 𝑑𝑥
−𝐿 𝐿 −𝐿 𝐿 2 𝐿 𝐿
𝑛=1
𝐿 ∞ 𝐿 𝐿
𝑎0 𝜋𝑥 𝑛𝜋𝑥 𝜋𝑥 𝑛𝜋𝑥 𝜋𝑥
= ∫ cos 𝑑𝑥 + ∑ (𝑎 𝑛 ∫ cos cos 𝑑𝑥 + 𝑏𝑛 ∫ sin cos 𝑑𝑥)
2 −𝐿 𝐿 −𝐿 𝐿 𝐿 −𝐿 𝐿 𝐿
𝑛=1
𝐿 𝐿
𝜋𝑥 𝜋𝑥 𝜋𝑥
∫ 𝑓(𝑥) cos 𝑑𝑥 = 𝑎1 ∫ cos cos 𝑑𝑥
−𝐿 𝐿 −𝐿 𝐿 𝐿
= 𝑎1 𝐿 𝐴𝑓𝑡𝑒𝑟 𝑢𝑠𝑖𝑛𝑔 𝑎𝑏𝑜𝑣𝑒 𝑜𝑟𝑡ℎ𝑜𝑔𝑜𝑛𝑎𝑙 𝑐𝑜𝑛𝑑𝑖𝑡𝑖𝑜𝑛𝑠
𝐿 𝜋𝑥 𝟏 𝑳 𝝅𝒙
Therefore, ∫−𝐿 𝑓(𝑥) cos 𝑑𝑥 = 𝑎1 𝐿 → 𝒂𝟏 = ∫−𝑳 𝒇 (𝒙) 𝐜𝐨𝐬 𝒅𝒙
𝐿 𝑳 𝑳

Remarks: If 𝐿 = 𝜋, the series (2) and the coefficients 𝑎 𝑛 and 𝑏𝑛 are particularly simple.
The function in this case has the period 2𝜋
Examples 5: Determine the Fourier series expansion of the following periodic functions
of period 2𝜋:
a) 𝑓 (𝑥) = 𝑥, 0 < 𝑥 < 2𝜋
b) 𝑓 (𝑥) = 𝑥 2 + 𝑥, −𝜋 < 𝑥 < 𝜋
1
𝑥, 0 < 𝑥 < 𝜋
2
1 1
c) 𝑓 (𝑥) = 𝜋, 𝜋<𝑥<𝜋
2 2
1
𝜋 − 𝑥, 𝜋 < 𝑥 < 2𝜋
{ 2
Answers:
Fourier’s coefficients determination:
2𝜋
1 2𝜋 1 2𝜋 1 𝑥2
a) 𝑎 0 = ∫0 𝑓 (𝑥) 𝑑𝑥 = ∫0 𝑥 𝑑𝑥 = [ ] = 2𝜋
𝜋 𝜋 𝜋 2 0
1 𝐿 𝑛𝜋𝑥 1 2𝜋 1 sin 𝑛𝑥 cos 𝑛𝑥 2𝜋

𝑎 𝑛 = ∫ 𝑓 (𝑥) cos 𝑑𝑥 = ∫ 𝑥 cos 𝑛𝑥 𝑑𝑥 = [𝑥 + ] =0
𝐿 −𝐿 𝐿 𝜋 0 𝜋 𝑛 𝑛2 0
1 𝐿 𝑛𝜋𝑥 1 2𝜋 1 𝑥 sin 𝑛𝑥 2𝜋 2
𝑏𝑛 = ∫ 𝑓(𝑥) sin 𝑑𝑥 = ∫ 𝑥 sin 𝑛𝑥 𝑑𝑥 = [− cos 𝑛𝑥 + 2
] =−
{ 𝐿 −𝐿 𝐿 𝜋 0 𝜋 𝑛 𝑛 0 𝑛
Hence,
∞
2
𝑓 (𝑥) = 𝜋 − ∑ sin 𝑛𝑥
𝑛
𝑛=1
1 2𝜋 1 𝜋 2
b) 𝑎 0 = ∫0 𝑓 (𝑥) 𝑑𝑥 = ∫−𝜋( 𝑥 2 + 𝑥) 𝑑𝑥 = 𝜋 2
𝜋 𝜋 3
1 𝐿 𝑛𝜋𝑥 1 𝜋 1 4𝜋 4
𝑎𝑛 = ∫ 𝑓(𝑥) cos 𝑑𝑥 = ∫ (𝑥 2 + 𝑥) cos 𝑛𝑥 𝑑𝑥 = 2 cos 𝜋𝑥 = 2 (−1) 𝑛
𝐿 −𝐿 𝐿 𝜋 −𝜋 𝜋𝑛 𝑛
𝐿 𝜋
1 𝑛𝜋𝑥 1 2 2
𝑏𝑛 = ∫ 𝑓(𝑥) sin 𝑑𝑥 = ∫ (𝑥 2 + 𝑥) sin 𝑛𝑥 𝑑𝑥 = cos 𝜋𝑥 = (−1) 𝑛
{ 𝐿 −𝐿 𝐿 𝜋 −𝜋 𝑛 𝑛
Hence,
∞
2 2 2
𝑓(𝑥) = 𝜋 2 + [∑ (−1) 𝑛 [ cos 𝑛𝑥 + sin 𝑛𝑥]]
3 𝑛 𝑛
𝑛=1
1 𝜋 1 𝜋⁄2 𝜋 1 2𝜋 1 5
c) 𝑎 0 = ∫−𝜋 𝑓(𝑥) 𝑑𝑥 = [∫0 𝑥 𝑑𝑥 + ∫𝜋⁄2 𝜋𝑑𝑥 + ∫𝜋 (𝜋 − 𝑥) 𝑑𝑥] = 𝜋
𝜋 𝜋 2 2 8

⁄
1 𝐿 𝑛𝜋𝑥 1 𝜋2 𝑛𝜋𝑥 𝜋
1 𝑛𝜋𝑥 2𝜋
1 𝑛𝜋𝑥
𝑎 𝑛 = ∫ 𝑓(𝑥) cos 𝑑𝑥 = [∫ 𝑥 cos 𝑑𝑥 + ∫ 𝜋 cos 𝑑𝑥 + ∫ (𝜋 − 𝑥) cos 𝑑𝑥]
𝐿 −𝐿 𝐿 𝜋 0 𝐿 𝜋⁄2 2 𝐿 𝜋 2 𝐿
1
1 1 [( ) 𝑛 − 1] (𝑒𝑣𝑒𝑛 𝑛)
2 −1
𝑎𝑛 = (2 cos 𝑛𝜋 − 3 + cos 𝑛𝜋) = { 2𝜋𝑛
2𝜋𝑛2 2 1
− (𝑜𝑑𝑑 𝑛)
2𝜋𝑛2
⁄
1 𝐿 𝑛𝜋𝑥 1 𝜋2 𝑛𝜋𝑥 𝜋
1 𝑛𝜋𝑥 2𝜋
1 𝑛𝜋𝑥
𝑏𝑛 = ∫ 𝑓 (𝑥) sin 𝑑𝑥 = [∫ 𝑥 sin 𝑑𝑥 + ∫ 𝜋 sin 𝑑𝑥 + ∫ (𝜋 − 𝑥) sin 𝑑𝑥 ]
𝐿 −𝐿 𝐿 𝜋 0 𝐿 𝜋⁄2 2 𝐿 𝜋 2 𝐿
0 (𝑒𝑣𝑒𝑛 𝑛)
1 1
𝑏𝑛 = sin 𝑛𝜋 = { (−1) (𝑛−1)⁄2
𝜋𝑛2 2 (𝑜𝑑𝑑 𝑛)
{ 𝜋𝑛2
Hence,
5 2 cos 3𝑥 cos 5𝑥
𝑓 (𝑥) = 𝜋 − (cos 𝑥 + + +⋯)
16 𝜋 32 52
2 cos2 𝑥 cos 4𝑥 cos 6𝑥
− ( 2 + + +⋯)
𝜋 2 42 62
1 sin 3𝑥 sin 5𝑥
+ (sin 𝑥 + + +⋯)
𝜋 32 52
Remark: In the Fourier series corresponding to an odd function, only sine terms can be
present. In the Fourier series corresponding to an even function, only cosine terms (and
possibly a constant which we shall consider a cosine term) can be present.
1.2.DIRICHLET’S CONDITIONS OF FOURIER’S SERIES CONVERGENCE

Suppose that
(1) 𝑓 (𝑥) must be defined and single-valued on points in periodic interval (−𝐿, 𝐿) ;
(2) 𝑓 (𝑥) must be continuous or have a finite number of finite discontinuities within
a periodic interval (−𝐿, 𝐿) with period 2L;
(3) 𝑓 (𝑥) and 𝑓 ′ (𝑥)are piecewise continuous in periodic interval (−𝐿, 𝐿) .
Then the series (2) with Fourier coefficients converges to
(a) 𝑓 (𝑥) if 𝑥 is a point of continuity
𝑓 ( 𝑥+0) +𝑓( 𝑥−0)
(b) if 𝑥 is a point of discontinuity
2
Here 𝑓 (𝑥 + 0) and 𝑓(𝑥 − 0) are the right- and left-hand limits of 𝑓 (𝑥) at 𝑥 and represent
lim 𝑓(𝑥+∈ ) 𝑎𝑛𝑑 lim− 𝑓(𝑥−∈ ) respectively.
∈→0+ ∈→0

Examples 6: If the following functions are defined over the interval −𝜋 < 𝑥 < 𝜋 and
(𝑥) = 𝑓 (𝑥 + 2𝜋) , state whether or not each function can be represented by a Fourier series
2 1
a) 𝑓 (𝑥) = 𝑥 3 b) 𝑓(𝑥) = 4𝑥 − 5 c) 𝑓(𝑥) = d) 𝑓 (𝑥) = e) 𝑓(𝑥) = tan 𝑥
𝑥 𝑥−5
f) 𝑓 (𝑥) = 𝑦 where 𝑥 2 + 𝑦 2 = 9
Answers: A given function can be represented by a Fourier series sufficiently satisfying
the above three conditions,
No Statement No Statement
a) Yes d) yes
b) Yes e) No: because is infinitely discontinuity at

𝜋
𝑥=
2
c) No: because is infinitely discontinuity at f) No: because has two values

𝑥 = 0 i.e does not satisfy the
1.3. HALF RANGE FOURIER SINE OR COSINE SERIES

A half range Fourier sine or cosine series is a series in which only sine terms or only cosine
terms are present, respectively. When a half range series corresponding to a given function
is desired, the function is generally defined in the interval (0, 𝐿) [which is half of the
interval (−𝐿, 𝐿) thus accounting for the name half range and then the function is specified
as odd or even, so that it is clearly defined in the other half of the interval, namely, ( −𝐿, 0).
FOR A HALF RANGE COSINE SERIES
For a function 𝑓(𝑥) defined only over the finite interval 0 ≤ 𝑥 ≤ 𝐿 its even periodic
extension 𝐹(𝑥) is the even periodic function defined by
𝒇 (𝒙); 𝟎<𝑥 <𝑳
𝑭(𝒙) = {
𝒇( −𝒙); −𝑳 < 𝑥 < 0
𝑭(𝒙 + 𝟐𝑳) = 𝑭(𝒙)

If 𝑓(𝑥) satisfies Dirichlet’s conditions in the interval 0 < 𝑥 < 𝐿, then since it is an even
function of period 2𝐿, then even periodic extension 𝑭(𝒙) will have a convergent Fourier
series representation consisting of cosine terms only and given by
∞
𝒂𝟎 𝒏𝝅𝒙
𝑭(𝒙) = + ∑ 𝒂𝒏 𝐜𝐨𝐬 (𝟑)
𝟐 𝑳
𝒏=𝟏
Where
𝟐 𝑳 𝒏𝝅𝒙
𝒂𝒏 = ∫ 𝒇 (𝒙) 𝐜𝐨𝐬 𝒅𝒙 , 𝒏 = 𝟎, 𝟏, 𝟐, 𝟑, ⋯
𝑳 𝟎 𝑳
FOR A HALF RANGE SINE SERIES
For a function 𝑓(𝑥) defined only over the finite interval 0 ≤ 𝑥 ≤ 𝐿 , its odd periodic
extension 𝐺 (𝑥) is the even periodic function defined by
𝒇 (𝒙); 𝟎<𝑥<𝑳
𝑮(𝒙) = {
−𝒇(−𝒙); −𝑳 < 𝑥 < 0
𝑮(𝒙 + 𝟐𝑳) = 𝑮(𝒙)
If 𝑓(𝑥) satisfies Dirichlet’s conditions in the interval 0 < 𝑥 < 𝐿, then since it is an odd
function of period 2𝐿, then odd periodic extension 𝑮(𝒙) will have a convergent Fourier
series representation consisting of sine terms only and given by
∞
𝒏𝝅𝒙
𝑮 (𝒙) = ∑ 𝒃𝒏 𝐬𝐢𝐧 (𝟒)
𝑳
𝒏=𝟏
Where
𝟐 𝑳 𝒏𝝅𝒙
𝒃𝒏 = ∫ 𝒇 (𝒙) 𝐬𝐢𝐧 𝒅𝒙 , 𝒏 = 𝟏, 𝟐, 𝟑, ⋯
𝑳 𝟎 𝑳
Example 7: Consider the following function defined in the interval 0 < 𝑥 < 4
𝑓 (𝑥) = 𝑥,
Obtain:
a) a half-range cosine series expansion
b) a half-range sine series expansion

Answers:
a) Half-range cosine series expansion. Define the periodic function
𝑓 (𝑥) = 𝑥; 0< 𝑥< 4
𝐹(𝑥) = {
𝑓( −𝑥) = −𝑥; −4 < 𝑥 < 0
𝐹 (𝑥 + 8) = 𝐹 (𝑥)
Then, since 𝐹 (𝑥) is an even periodic function with period 8, it has a convergent Fourier
series expansion given by (3). Taking 𝐿 = 4, we have the Fourier’s coefficients
determination as:
2 4 1 4
𝑎 0 = ∫ 𝑓 (𝑥) 𝑑𝑥 = ∫ 𝑥 𝑑𝑥 = 4
4 0 2 0
2 𝐿 𝑛𝜋𝑥 2 4 𝑛𝜋𝑥 1 4𝑥 sin 𝑛𝜋𝑥 16 cos 𝑛𝜋𝑥 4
𝑎 𝑛 = ∫ 𝑓 (𝑥) cos 𝑑𝑥 = ∫ 𝑥 cos 𝑑𝑥 = [ + ]
𝐿 0 𝐿 4 0 4 2 𝑛𝜋 4 (𝑛𝜋) 2 0
0, 𝑓𝑜𝑟 𝑛 𝑖𝑠 𝑒𝑣𝑒𝑛
8
= (cos 𝑛𝜋 − 1) = { 16
(𝑛𝜋) 2 − , 𝑓𝑜𝑟 𝑛 𝑖𝑠 𝑜𝑑𝑑
(𝑛𝜋) 2
Hence,
16 1 1 3 1 5
𝐹(𝑥) = 2 − 2
(cos 𝜋𝑥 + 2 cos 𝜋𝑥 + 2 cos 𝜋𝑥 + ⋯ )
𝜋 4 3 4 5 4
𝑜𝑟
∞
16 1 1
𝐹(𝑥) = 2 − 2 ∑ 2 cos (2𝑛 − 1) 𝜋𝑥
𝜋 (2𝑛 − 1) 4
𝑛=1
Since 𝐹(𝑥) = 𝑓(𝑥) for 0 < 𝑥 < 4, it follows that this Fourier series is representative
of 𝑓(𝑥) within this interval. Thus the half- range cosine series expansion of 𝒇(𝒙) is
∞
𝟏𝟔 𝟏 𝟏
𝑭(𝒙) = 𝒙 = 𝟐 − 𝟐 ∑ 𝟐 𝐜𝐨𝐬 (𝟐𝒏 − 𝟏) 𝝅𝒙, 𝒇𝒐𝒓 𝟎 < 𝑥 < 4
𝝅 (𝟐𝒏 − 𝟏) 𝟒
𝒏=𝟏
b) Half-range sine series expansion. Define the periodic function

𝑓 (𝑥) = 𝑥; 0< 𝑥< 4
𝐺 (𝑥) = {
−𝑓 (−𝑥) = 𝑥; −4 < 𝑥 < 0
𝐺 (𝑥 + 8) = 𝐺 (𝑥)

Then, since 𝐺 (𝑥) is an even periodic function with period 8, it has a convergent Fourier
series expansion given by (3). Taking 𝐿 = 4, we have the Fourier’s coefficients
determination as:
2 𝐿 𝑛𝜋𝑥 2 4 𝑛𝜋𝑥 1 4𝑥 1 16 1 4
𝑏𝑛 = ∫ 𝑓 (𝑥) sin 𝑑𝑥 = ∫ 𝑥 sin 𝑑𝑥 = [− cos 𝑛𝜋𝑥 + sin 𝑛𝜋𝑥]
𝐿 0 𝐿 4 0 4 2 𝑛𝜋 4 (𝑛𝜋) 2 4 0
8 8
= cos 𝑛𝜋 = − (−1) 𝑛
𝑛𝜋 𝑛𝜋
Hence,
8 1 1 1 1 3
𝐺 (𝑥) = ( sin 𝜋𝑥 − sin 𝜋𝑥 + sin 𝜋𝑥 − ⋯ )
𝜋 4 2 2 3 4
𝑜𝑟
∞
8 (−1) 𝑛+1 1
𝐺 (𝑥) = ∑ sin 𝑛𝜋𝑥
𝜋 𝑛 4
𝑛=1
Since 𝐺 (𝑥) = 𝑓 (𝑥) for 0 < 𝑥 < 4, it follows that this Fourier series is representative
of 𝑓(𝑥) within this interval. Thus the half- range sine series expansion of 𝒇 (𝒙) is
∞
𝟖 ( −𝟏) 𝒏+𝟏 𝟏
𝒇(𝒙) = 𝒙 = ∑ 𝐬𝐢𝐧 𝒏𝝅𝒙 , 𝒇𝒐𝒓 𝟎 < 𝑥 < 4
𝝅 𝒏 𝟒
𝒏=𝟏
PARSEVAL’S IDENTITY
If 𝑎 𝑛 and 𝑏𝑛 are the Fourier coefficients corresponding to 𝑓(𝑥) and if 𝑓 (𝑥) satisfies the
Dirichlet conditions, then
∞
𝟏 𝑳 𝒂 𝟐
∫ {𝒇(𝒙)}𝟐 𝒅𝒙 = 𝟎 + ∑ (𝒂𝒏 𝟐 + 𝒃𝒏 𝟐 )
𝑳 −𝑳 𝟐
𝒏=𝟏
Example 8: Consider the following function defined in the interval 0 < 𝑥 < 4
𝑓 (𝑥) = 𝑥,
Verify the Parseval’s identity

∞
1 4 2 42 −8 2
∫ 𝑥 𝑑𝑥 = + ∑ (( 2 ) + 02 ) , 𝑓𝑜𝑟 𝑛 𝑖𝑠 𝑜𝑑𝑑
2 0 2 𝑛𝜋
𝑛=1

∞
1 4 2 64 1
∫ 𝑥 𝑑𝑥 = 8 + 4 ∑ 2 , 𝑓𝑜𝑟 𝑛 𝑖𝑠 𝑜𝑑𝑑
2 0 𝜋 𝑛
𝑛=1
32 64 1 1 1
= 8 + 4 (1 + 2 + 2 + 2 + ⋯ )
3 𝜋 3 5 7
This imply that
1 1 1 1 𝜋4
1+ 2
+ 2
+ 2
+ ⋯ = ∑∞
𝑛=1 ( )2
=
3 5 7 2𝑛−1 24
1.4.FOURIER TRANSFORM
1.4.1. The Fourier integral
Let us assume the following conditions on𝑓(𝑥):

(i) 𝑓(𝑥) satisfies the Dirichlet conditions in every finite interval (– 𝐿, 𝐿) ;
∞
(ii) ∫−∞|𝑓(𝑥)|𝑑𝑥 converges, i.e 𝑓(𝑥) is absolutely integrable in (– ∞, ∞) ;
Then Fourier’s integral theorem states that the Fourier integral of a function 𝒇 is
∞
𝝋(𝒙) = ∫ {𝑨(𝜶) 𝐜𝐨𝐬 𝜶𝒙 + 𝑩(𝜶) 𝐬𝐢𝐧 𝜶𝒙} 𝒅𝜶 (𝟓)
𝟎
Where
𝟏 ∞
𝑨(𝜶) = ∫ 𝒇(𝒙) 𝐜𝐨𝐬 𝜶𝒙 𝒅𝒙
𝝅 −∞
𝟏 ∞
𝑩(𝜶) = ∫ 𝒇 (𝒙) 𝐬𝐢𝐧 𝜶𝒙 𝒅𝒙
{ 𝝅 −∞
𝐴 (𝛼) and 𝐵(𝛼) with −∞ < 𝛼 < ∞ are generalizations of the Fourier coefficients 𝑎 𝑛 and
𝑏𝑛. The right-hand side of (5)is also called a Fourier integral expansion of f .
Remarks:
• The result (5) holds if 𝑥 is a point of continuity of 𝑓(𝑥).
𝑓 ( 𝑥+0) +𝑓( 𝑥−0)
• If 𝑥 is a point of discontinuity, we must replace 𝑓(𝑥) by as in the
2
case of Fourier series. Note that the above conditions are su fficient but not
necessary.
• In the generalization of Fourier coefficients to Fourier integrals, 𝑎 0 may be
neglected, since whenever

∞
∫ 𝑓(𝑥)𝑑𝑥 𝑒𝑥𝑖𝑠𝑡𝑠,
−∞
1 𝐿
|𝑎 0 | = | ∫ 𝑓(𝑥)𝑑𝑥| → 0 𝑎𝑠 𝐿 → ∞
𝐿 −𝐿
EQUIVALENT FORMS OF FOURIER’S INTEGRAL THEOREM
Fourier’s integral theorem can also be written in the forms

1 ∞ ∞
𝜑 (𝑥) = ∫ ∫ 𝑓(𝑢) cos 𝛼 (𝑥 − 𝑢) 𝑑𝑢𝑑𝛼
𝜋 𝛼=0 𝑢=−∞
As there is no imaginary part, we can write cos 𝛼(𝑥 − 𝑢) = 𝑒 −𝑖(𝛼𝑥−𝛼𝑢), then the above
expression becomes:
1 ∞ −𝑖𝛼𝑥 ∞
𝜑(𝑥) = ∫ 𝑒 𝑑𝛼 ∫ 𝑓(𝑢) 𝑒 𝑖𝛼𝑢 𝑑𝑢 (6)
2𝜋 −∞ −∞
𝟏 ∞ ∞
𝜑(𝑥) = ∫ ∫ 𝒇(𝒖) 𝒆𝒊𝜶(𝒖−𝒙)𝒅𝜶 𝒅𝒖
𝟐𝝅 −∞ −∞
Where it is understood that if 𝑓 (𝑥) is not continuous at 𝑥 the left side must be replaced by
𝑓 ( 𝑥+0) +𝑓( 𝑥−0)
.
2
These results can be simplified somewhat if 𝑓 (𝑥) is either an odd or an even function,
and we have:
𝝋(𝒙)
𝟐 ∞ ∞
= ∫ (∫ 𝒇(𝒖) 𝐜𝐨𝐬 𝜶𝒙 𝐜𝐨𝐬 𝜶𝒖 𝒅𝒖) 𝒅𝜶 , 𝒊𝒇 𝒇 (𝒙)𝒊𝒔 𝒂𝒏 𝒆𝒗𝒆𝒏 𝒇𝒖𝒏𝒄𝒕𝒊𝒐𝒏 (𝟕)
𝝅 𝟎 𝟎
𝝋(𝒙)
𝟐 ∞ ∞
= ∫ (∫ 𝒇(𝒖) 𝐬𝐢𝐧 𝜶𝒙 𝐬𝐢𝐧 𝜶𝒖 𝒅𝒖) 𝒅𝜶 , 𝒊𝒇 𝒇(𝒙)𝒊𝒔 𝒂𝒏 𝒐𝒅𝒅 𝒇𝒖𝒏𝒄𝒕𝒊𝒐𝒏 (𝟖)
𝝅 𝟎 𝟎
A (7) and (8) formulas are called the Fourier cosine integral, and the Fourier sine
integral respectively.
An entity of importance in evaluating integrals and solving differential and integral
equations, then we can put (6) in the following form:

∞ ∞
1 1
𝜑(𝑥) = ∫ 𝑒 −𝑖𝛼𝑥 { ∫ 𝑓(𝑢) 𝑒 𝑖𝛼𝑢 𝑑𝑢} 𝑑𝛼
√2𝜋 −∞ √2𝜋 −∞
Example 9: Consider a rectangular pulse given by

1, | 𝑡| ≤ 1
𝑓 (𝑡) = { | 𝑡| ≥ 1
0,
f(t)
-1 0 1 t
Calculate its Fourier integral

Answer: 𝑓 (𝑡) is even function, then we using formula (7):
2 ∞ 1
2 ∞ cos 𝛼𝑡 sin 𝛼
𝑓 (𝑡) = ∫ (∫ 1 cos 𝛼𝑡 cos 𝛼𝑢 𝑑𝑢) 𝑑𝛼 = ∫ 𝑑𝛼
𝜋 0 0 𝜋 0 𝛼
As is an improper integral, then we consider frequencies < 𝛼0 , when
2 𝛼0 cos 𝛼𝑡 sin 𝛼
𝑓 (𝑡) = ∫ 𝑑𝛼
𝜋 0 𝛼
1 𝛼0 sin 𝛼(𝑡 + 1)
= ∫ 𝑑𝛼
𝜋 0 𝛼
1 𝛼0 sin 𝛼(𝑡 − 1)
− ∫ 𝑑𝛼 𝑎𝑓𝑡𝑒𝑟 𝑡𝑟𝑖𝑔𝑜𝑛𝑜𝑚𝑒𝑡𝑟𝑖𝑐 𝑠𝑢𝑏𝑠𝑡𝑖𝑡𝑢𝑡𝑖𝑜𝑛
𝜋 0 𝛼
1 𝛼0 (𝑡+1) sin 𝑢
= ∫ 𝑑𝑢
𝜋 0 𝑢
1 𝛼0(𝑡−1) sin 𝑢
− ∫ 𝑑𝑢 𝑎𝑓𝑡𝑒𝑟 𝑐ℎ𝑎𝑛𝑔𝑖𝑛𝑔 𝑣𝑎𝑟𝑖𝑎𝑏𝑙𝑒 𝑜𝑓 𝑖𝑛𝑡𝑒𝑔𝑟𝑎𝑡𝑖𝑜𝑛 (∗)
𝜋 0 𝑢
In infinite series, we have

𝑥 ∞
sin 𝑢 (−1) 𝑛 𝑥 2𝑛+1
∫ 𝑑𝑢 = ∑ 𝑥 ≥0
0 𝑢 (2𝑛 + 1)(2𝑛 + 1)!
𝑛=0
Then (*) becomes:

∞ ∞
1 (−1) 𝑛 [𝛼0 (𝑡 − 1)]2𝑛+1 (−1) 𝑛 [𝛼0 (𝑡 − 1)]2𝑛+1
𝑓 (𝑡) = [∑ −∑ ] , 𝛼0 (𝑡 − 1)
𝜋 (2𝑛 + 1) (2𝑛 + 1)! (2𝑛 + 1) (2𝑛 + 1)!
𝑛=0 𝑛=0
≥ 0 𝑎𝑛𝑑𝛼0 (𝑡 + 1) ≥ 0
This expression is the Fourier integral of
1, | 𝑡| ≤ 1
𝑓 (𝑡) = { | 𝑡| ≥ 1
0,
1.4.2. The Fourier transform

From (6) it follows that
∞
𝟏
𝑭(𝒊𝜶) = ∫ 𝒇(𝒙) 𝒆 −𝒊𝜶𝒙 𝒅𝒙 (𝟗)
√𝟐𝝅 −∞
And
∞
𝟏
𝒇(𝒙) = ∫ 𝑭(𝒊𝜶) 𝒆𝒊𝜶𝒙 𝒅𝜶 (𝟏𝟎)
√𝟐𝝅 −∞
Where the function 𝐹(𝛼) is called the Fourier transform of 𝑓 (𝑥) and is sometimes
written 𝐹 (𝑖𝛼) = ℱ {𝑓(𝑥) }.
The function 𝑓(𝑥) is the inverse Fourier transform of 𝐹(𝑖𝛼) and is written 𝑓 (𝑥) =
ℱ −1 {𝑓(𝑥)}.
𝑒 −𝑥 , 𝑓𝑜𝑟 𝑥 ≥ 0
Example 10: Determine the Fourier transform of 𝑓 if 𝑓 (𝑥) = {
𝑒 2𝑥 , 𝑓𝑜𝑟 𝑥 < 0
Answers:
∞ 0 ∞
1 1
𝐹 (𝑖𝛼) = ∫ 𝑓 (𝑥) 𝑒 −𝑖𝛼𝑥 𝑑𝑥 = {∫ 𝑒 2𝑥 𝑒 −𝑖𝛼𝑥 𝑑𝑥 + ∫ 𝑒 −𝑥 𝑒 −𝑖𝛼𝑥 𝑑𝑥}
√2𝜋 −∞ √2𝜋 −∞ 0
0 ∞
1
= {∫ 𝑒 ( 2−𝑖𝛼)𝑥 𝑑𝑥 + ∫ 𝑒 −(1+𝑖𝛼) 𝑥 𝑑𝑥}
√2𝜋 −∞
−
0
( 2−𝑖𝛼) 𝑥 𝑥→0 ( )
− 1+𝑖𝛼 𝑥
𝑥→∞
1 𝑒 𝑒
= { | − | }
√2𝜋 2 − 𝑖𝛼 𝑥→−∞ 1 + 𝑖𝛼 𝑥→0+
𝑥→0− 𝑥→∞
1 𝑒 (2+𝑖𝛼) 𝑥 𝑒 (1−𝑖𝛼)(−𝑥)
= { | − | }
√2𝜋 2 − 𝑖𝛼 𝑥→−∞ 1 + 𝑖𝛼 𝑥→0+
1 1 1 1 𝛼 2 − 2 + 𝑖𝛼(5 + 2𝛼 2 )
= {− }= { }
√2𝜋 2 + 𝑖𝛼 1 + 𝑖𝛼 √2𝜋 (4 + 𝛼 2 )(1 + 𝛼 2 )
Hence
𝛼 2 − 2 + 𝑖𝛼 (5 + 2𝛼 2 )
1
𝐹(𝑖𝛼) = { }
√2𝜋 (4 + 𝛼 2 )(1 + 𝛼 2 )
Remarks:

• If 𝑓(𝑥) is an even function, equation (7)yields
𝟐 ∞
𝑭𝒄 (𝒊𝜶) = √ ∫ 𝒇 (𝒙) 𝐜𝐨𝐬 𝜶𝒙 𝒅𝒙
𝝅 𝟎
𝟐 ∞
𝒇 (𝒙) = √ ∫ 𝑭𝒄 (𝒊𝜶) 𝐜𝐨𝐬 𝜶𝒙 𝒅𝜶
{ 𝝅 𝟎
and we call 𝐹𝑐 (𝑖𝛼) and 𝑓(𝑥)Fourier cosine transforms of each other.
• If 𝑓(𝑥) is an odd function, equation (8)yields
𝟐 ∞
𝑭𝒔 (𝒊𝜶) = √ ∫ 𝒇 (𝒙) 𝐬𝐢𝐧 𝜶𝒙 𝒅𝒙
𝝅 𝟎
𝟐 ∞
𝒇(𝒙) = √ ∫ 𝑭𝒄 (𝒊𝜶) 𝐬𝐢𝐧 𝜶𝒙 𝒅𝜶
{ 𝝅 𝟎
and we call 𝐹𝑠 (𝑖𝛼) and 𝑓(𝑥)Fourier sine transforms of each other.
• When the product of Fourier transforms is considered, a new concept called
convolution comes into being, and in conjunction with it, a new pair (function
and its Fourier transform) arises. In particular, if 𝐹 (𝑖𝛼) and 𝐺 (𝑖𝛼) are the Fourier
transforms of 𝑓 and 𝑔, respectively, and the convolution of 𝑓 and 𝑔 is defined to
be
∞
𝟏
𝒇∗ 𝒈 = ∫ 𝒇(𝒖) 𝒈(𝒙 − 𝒖)𝒅𝒖 (𝟏𝟏)
√𝝅 −∞
Then
∞
𝟏
𝑭(𝒊𝜶)𝑮(𝒊𝜶) = ∫ 𝒆 −𝒊𝜶𝒖 𝒇 ∗ 𝒈𝒅𝒖 (𝟏𝟐)
√𝝅 −∞
∞
𝟏
𝒇∗𝒈= ∫ 𝒆𝒊𝜶𝒙 𝑭(𝜶)𝑮(𝜶)𝒅𝜶 (𝟏𝟑)
{ 𝝅
√ −∞
where in both (11) and (13) the convolution 𝒇 ∗ 𝒈 is a function of 𝒙.
Now equate the representations of 𝒇 ∗ 𝒈 expressed in (11) and (13), i.e.,
1 ∞ 1 ∞ 𝑖𝛼𝑥
𝑓∗𝑔= ∫ 𝑓 (𝑢) 𝑔(𝑥 − 𝑢)𝑑𝑢 = ∫ 𝑒 𝐹(𝛼) 𝐺 (𝛼) 𝑑𝛼
√𝜋 −∞ √𝜋 −∞
and let the parameter 𝑥 be zero, then

∞ ∞
∫ 𝒇(𝒖) 𝒈(−𝒖)𝒅𝒖 = ∫ 𝒆𝒊𝜶𝒙 𝑭(𝜶)𝑮(𝜶) 𝒅𝜶 (𝟏𝟒)
−∞ −∞
1.5.PROPERTIES OF TRANSFORMS OF SIMPLE FUNCTIONS.

1.5.1. The linearity property

Linearity property is a fundamental property of the Fourier transform, and may be stated
as follows:
‘If 𝑓(𝑥) and 𝑔(𝑥) are functions having Fourier transforms 𝐹(𝑖𝛼) 𝑎𝑛𝑑 𝐺 (𝑖𝛼) respectively,
and if 𝛽 and 𝛾 are constants, then s
𝓕{𝜷𝒇 (𝒙) + 𝜸 𝒈(𝒙)} = 𝜷𝓕{𝒇(𝒙)} + 𝜸𝓕{𝒈(𝒙)} = 𝜷𝑭(𝒊𝜶) + 𝜸𝑮(𝒊𝜶) ’
As a consequence of this, we say that the Fourier transform operator 𝓕 is a linear operator.
Proof:
By definition we have:
∞
ℱ {𝛽𝑓(𝑥) + 𝛾 𝑔(𝑥)} = ∫ [𝛽𝑓 (𝑥) + 𝛾 𝑔(𝑥]𝑒 −𝑖𝛼𝑥 𝑑𝑥
−∞
∞ ∞
= 𝛽 ∫−∞ 𝑓 (𝑥) 𝑒 −𝑖𝛼𝑥 𝑑𝑥 + 𝛾 ∫−∞ 𝑔(𝑥)𝑒 −𝑖𝛼𝑥 𝑑𝑥
= 𝛽𝐹 (𝑖𝛼) + 𝛾𝐺 (𝑖𝛼)
Clearly the linearity property also applies to the inverse transform operator ℱ −1
1.5.2. Differentiation property
If the function 𝑓(𝑥) has a Fourier transform 𝐹 (𝑖𝛼), then by (10)
∞
1
𝑓 (𝑥) = ∫ 𝐹 (𝑖𝛼)𝑒 𝑖𝛼𝑥 𝑑𝛼
√2𝜋 −∞
Differentiating with respect to 𝑥 gives

∞ ∞
𝑑𝑓 1 𝜕 𝑖𝛼𝑥
1
= ∫ [𝐹 (𝑖𝛼)𝑒 ] 𝑑𝛼 = ∫ (𝑖𝛼)𝐹 (𝑖𝛼)𝑒 𝑖𝛼𝑥 𝑑𝛼
𝑑𝑥 √2𝜋 −∞ 𝜕𝑥 √2𝜋 −∞
𝑑𝑓
Imply that is the inverse Fourier transform of (𝑖𝛼)𝐹 (𝑖𝛼)
𝑑𝑥
In other words
𝒅𝒇
𝓕{ } = (𝒊𝜶)𝑭(𝒊𝜶)
𝒅𝒙
Repeating the argument 𝑛 times, it follows that
𝒅𝒏 𝒇
𝓕{ } = (𝒊𝜶) 𝒏 𝑭(𝒊𝜶) (𝟏𝟓)
𝒅𝒙𝒏
If 𝒙 = 𝒕 ≡ 𝒕𝒊𝒎𝒆 the above result (15) is referred to as the time-differentiation property,
and may be used to obtain frequency-domain representation of differential equations.
Example 11: Show that if the time signals 𝑦(𝑡) and 𝑢(𝑡) have the Fourier transforms
𝑌(𝑖𝛼) and 𝑈(𝑖𝛼) respectively, and if

𝑑 2 𝑦(𝑡) 𝑑𝑦(𝑡) 𝑑𝑢(𝑡)
2 +3 + 7𝑦 (𝑡) = 3 + 7𝑢(𝑡)
𝑑𝑡 𝑑𝑡 𝑑𝑡
Then 𝑌(𝑖𝛼) = 𝐺(𝑖𝛼)𝑈(𝑖𝛼) for some function 𝐺(𝑖𝛼)?
Answer: Taking Fourier transforms of above differential equation, then we have:
𝑑2 𝑦(𝑡) 𝑑𝑦(𝑡) 𝑑𝑢(𝑡)
ℱ{ 2 +3 + 7𝑦 (𝑡)} = ℱ {3 + 7𝑢(𝑡)}
Which, on using the linearity property, reduces to
𝑑2 𝑦(𝑡) 𝑑𝑦(𝑡) 𝑑𝑢(𝑡)
ℱ{ 2
} + 3ℱ { } + 7ℱ {𝑦(𝑡)} = 3ℱ { } + 7ℱ {𝑢(𝑡)}
Then, from (15) we get:
(𝑖𝛼) 2 𝑌(𝑖𝛼) + 3 (𝑖𝛼)𝑌 (𝑖𝛼) + 7𝑌 (𝑖𝛼) = 3 (𝑖𝛼)𝑈 (𝑖𝛼) + 2𝑈 (𝑖𝛼)
That is,
(7 − 𝛼 2 + 3𝑖𝛼) 𝑌(𝑖𝛼) = (2 + 3𝑖𝛼)𝑈 (𝑖𝛼)
Giving 𝑌 (𝑖𝛼) = 𝐺(𝑖𝛼)𝑈(𝑖𝛼)
Where
2 + 3𝑖𝛼
𝐺(𝑖𝛼) =
7 − 𝛼 2 + 3𝑖𝛼
1.5.3. Time-shift property
If a function 𝑓(𝑡) has Fourier transform 𝐹(𝑖𝛼), then what is the Fourier transform of the
shifted version of 𝑓(𝜏), defined by 𝑔(𝑡) = 𝑓(𝑡 − 𝜏)?
Answer:
∞ ∞
ℱ {𝑔(𝑡)} = ∫−∞ 𝑔(𝑡)𝑒 −𝑖𝛼𝑡 𝑑𝑡 = ∫−∞ 𝑓(𝑡 − 𝜏)𝑒 −𝑖𝛼𝑡 𝑑𝑡
Making the substitution 𝑥 = 𝑡 − 𝜏, we have
∞ ∞
ℱ {𝑔 (𝑡)} = ∫ 𝑓(𝑥)𝑒 −𝑖𝛼(𝑥+𝜏) 𝑑𝑥 = 𝑒 −𝑖𝛼𝜏 ∫ 𝑓(𝑥)𝑒 −𝑖𝛼𝑥 𝑑𝑥 = 𝑒 −𝑖𝛼𝜏 𝐹(𝑖𝛼)
−∞ −∞
That is
𝓕 {𝒇(𝒕 − 𝝉)} = 𝒆 −𝒊𝜶𝝉 𝑭(𝒊𝜶) (𝟏𝟔)
The result (16) is known as the time-shift property, and implies that delaying a signal by a
time 𝝉 causes its Fourier transform to be multiplied by 𝑒 −𝑖𝛼𝜏 .
Since
|𝑒 −𝑖𝛼𝜏 | = |cos 𝛼𝜏 − 𝑖 sin 𝛼𝜏 | = 1

we have
|𝒆−𝒊𝜶𝝉𝑭(𝒊𝜶)| = |𝑭(𝒊𝜶)|
Indicating that the amplitude spectrum of 𝑓(𝑡 − 𝜏) is identical with that of 𝑓(𝑡).
1.5.4. Frequency-shift property
Suppose that a function 𝑓(𝑡) has Fourier transform 𝐹 (𝑖𝛼). Then, from the definition of
Fourier transform we calculate the Fourier transform of 𝑔(𝑡) = 𝑒 𝑖 𝛼0𝑡 𝑓(𝑡) as
∞ ∞
ℱ {𝑔 (𝑡)} = ∫ 𝑒 𝑖𝛼0 𝑡 𝑓(𝑡) 𝑒 −𝑖𝛼𝑡 𝑑𝑡 = ∫ 𝑓 (𝑡) 𝑒 −𝑖(𝛼−𝛼0)𝑡 𝑑𝑡
−∞ −∞
∞
= ∫ 𝑓 (𝑡) 𝑒 −𝑖𝛼̃𝑡 𝑑𝑡, 𝑤ℎ𝑒𝑟𝑒 𝛼̃ = 𝛼 − 𝛼0
−∞
= 𝐹 (𝑖𝛼̃ )
Thus,
𝓕{𝒆𝒊𝜶𝟎 𝒕 𝒇(𝒕)} = 𝑭[𝒊 (𝜶 − 𝜶𝟎 )] (𝟏𝟕)
Example 12: Determine the frequency spectrum of the signal 𝑔(𝑡) = 𝑓(𝑡) cos 𝛼𝑐 𝑡
1
Answer: As cos 𝛼𝑐 𝑡 = [𝑒 𝑖 𝛼𝑐𝑡 + 𝑒 −𝑖𝛼𝑐𝑡 ]
2
1 1
ℱ {𝑔 (𝑡)} = ℱ { 𝑓(𝑡)[ 𝑒 𝑖𝛼𝑐𝑡 + 𝑒 −𝑖𝛼𝑐𝑡 ]} = [ℱ {𝑒 𝑖 𝛼𝑐𝑡 𝑓(𝑡)} + ℱ {𝑒 −𝑖𝛼𝑐𝑡 𝑓(𝑡) }]
2 2
Use property (17), then we get:
1 1
𝑭[𝒊(𝜶 − 𝜶𝒄 )] + 𝑭[𝒊(𝜶 + 𝜶𝒄 )]
2 2
The effect of multiplying the signal 𝑓(𝑡) by the carrier signal cos 𝛼𝑐 𝑡 is thus to produce a
signal whose spectrum consists of two (scaled) version of 𝐹(𝑖𝛼) , the spectrum of 𝑓 (𝑡) ; one
centred on 𝜶 = 𝜶𝒄 and the other on 𝜶 = −𝜶𝒄 . The carrier signal cos 𝛼𝑐 𝑡 is said to be
modulated by the signal 𝑓 (𝑡) .
1.5.5. The symmetry property
We can establish the exact form of symmetric as:
∞
1
𝑓(𝑡) = ∫ 𝐹(𝑖𝛼) 𝑒 𝑖𝛼𝑡 𝑑𝛼
√2𝜋 −∞
Or, equivalently, by changing the dummy variable in the integration

∞
√2𝜋𝑓 (𝑡) = ∫ 𝐹 (𝑖𝑦) 𝑒 𝑖𝑦𝑡 𝑑𝛼
−∞

∞
√2𝜋𝑓 (−𝑡) = ∫ 𝐹(𝑖𝑦) 𝑒 −𝑖𝑦𝑡 𝑑𝛼
−∞
Or on replacing 𝑡 by 𝑤,
∞
√2𝜋𝑓( −𝑤) = ∫ 𝐹 (𝑖𝑦) 𝑒 −𝑖𝑦𝑤 𝑑𝛼
−∞
𝓕{𝑭(𝒊𝒚)} = √2𝜋𝒇 (−𝒘)

Given that
𝓕 {𝒇(𝒕) } = 𝑭(𝒊𝜶)
EXERCISES ON 1 ST CHAPTER
1.1. Sketch the graphs of the following, inserting relevant values.
4, 0<𝑥<5 3, 0<𝑥 <4
a) 𝑓 (𝑥) = { 0, 5 < 𝑥 < 8 b) 𝑓(𝑥) = { 5, 4<𝑥 <7 e
𝑓 (𝑥) = 𝑓 (𝑥 + 8) 𝑓(𝑥) = 𝑓 (𝑥 + 10)
2 sin 𝑥 , 0<𝑥 <𝜋
3𝑥 − 𝑥 2 , 0<𝑥 <3
c) 𝑓 (𝑥) = { d) 𝑓(𝑥) = { 0, 𝜋 < 𝑥 < 2𝜋
𝑓(𝑥) = 𝑓(𝑥 + 3)
𝑓 (𝑥) = 𝑓 (𝑥 + 2𝜋)
𝑥 𝑥2
, 0<𝑥 <𝜋 , 0<𝑥 <4
2 4
e) 𝑓 (𝑥) = {𝜋 − 𝑥 , 𝜋 < 𝑥 < 2𝜋 f) 𝑓 (𝑥) = 4, 4<𝑥 <6
2 0, 6<𝑥 <8
𝑓 (𝑥) = 𝑓 (𝑥 + 2𝜋)
{ (𝑥)
𝑓 = 𝑓(𝑥 + 8)
1.2.State whether each of the following products is odd, even, or neither
a) 𝑥 2 sin 2𝑥 b) 𝑥 3 cos 𝑥 c) cos 2𝑥 cos 3𝑥 d)(2𝑥 + 3) sin 4𝑥 e) 𝑥 3 𝑒 𝑥 f)
1
cosh 𝑥
𝑥+2
1.3.If 𝑓(𝑥) is defined in the interval −𝜋 < 𝑥 < 𝜋 and 𝑓 (𝑥) = 𝑓 (𝑥 + 2𝜋) , state whether
or not each of the following functions can be represented by a Fourier series.
1
a)𝑓(𝑥) = 𝑥 4 b) 𝑓 (𝑥) = 3 − 2𝑥 c) 𝑓 (𝑥) = d)𝑓 (𝑥) = 𝑒 2𝑥 e) 𝑓(𝑥) = csc 𝑥 f) 𝑓(𝑥) =
𝑥
±√4𝑥
1.4. Prove
𝐿 𝑚𝜋𝑥 𝑛𝜋𝑥 𝐿 𝑚𝜋𝑥 𝑚𝜋𝑥 0, 𝑚 ≠ 𝑛
a) ∫−𝐿 cos cos 𝑑𝑥 = ∫−𝐿 sin sin 𝑑𝑥 = {
𝐿 𝐿 𝐿 𝐿 𝐿, 𝑚 = 𝑛

𝐿 𝑚𝜋𝑥 𝑛𝜋𝑥
b) ∫−𝐿 sin cos 𝑑𝑥 = 0, where 𝑚 and 𝑛 can be assume any of the values
𝐿 𝐿
1, 2, 3, ⋯
2.1. Find the Fourier series of the following functions:
0, −1<𝑥<0
a) 𝑓 (𝑥) = { b) 𝑓 (𝑥) = |𝑥|, 𝑥 ∈ [−1, 1] c) 𝑓 (𝑥) = 𝑥, 𝑥 ∈ [−1, 1]
1, 0 < 𝑥 < 1
𝜋
𝑎, 0<𝑥 <
3
−1, − 2 < 𝑥 < −1 0,
𝜋
<𝑥<
2𝜋
d) 𝑓 (𝑥) = { 0, − 1 ≤ 𝑥 ≤ 1 e) 𝑓 (𝑥) = 3 3
2𝜋
1, 1 < 𝑥 < 2 −𝑎, <𝑥<𝜋
3
{ 𝑓 (𝑥) = 𝑓 (𝑥 + 𝜋)
−1, −2<𝑥<0
2.2. a) Find the Fourier sine series of the following function: 𝑓 (𝑥) = {
1, 0≤𝑥 <2
b) Show that the half-range Fourier sine series expansion of the function 𝑓 (𝑥) = 1, 0 <
𝑥 <𝜋
4 sin(2𝑛−1)𝑥
is ∑∞
𝑛=1 , 0<𝑥 <𝜋.
𝜋 2𝑛−1
2.3. a) Find the Fourier cosine series of the following functions: 𝑓 (𝑥) =
0, − 2 < 𝑥 < −1
{ 1, −1≤𝑥<1
0, 1 < 𝑥 < 2
b) Determine the half-range Fourier cosine series expansion of the function
𝑓(𝑥) = 2𝑥 − 1, 0<𝑥 <𝜋
c) Determine the Fourier cosine series to represent the function 𝑓(𝑥) where
𝜋
cos 𝑥 , 0 < 𝑥 <
2
𝑓(𝑥) = 𝜋
0, <𝑥 <𝜋
2
{ 𝑓 (𝑥) = 𝑓 (𝑥 + 2𝜋)
2.4. a) If 𝑓 (𝑥) is defined by 𝑓 (𝑥) = 𝑥 (𝜋 − 𝑥), 0 < 𝑥 < 𝜋 , express the function as
i) a half-range cosine series ii) a half-range sine series
b) If 𝑓 (𝑥) is defined by 𝑓(𝑥) = 1 − 𝑥 2 , 0 < 𝑥 < 1 , express the function as
i) a half-range cosine series ii) a half-range sine series
3.1. Calculate the Fourier transform of the two-sided exponential pulse given by
𝑒 𝑎𝑡 , 𝑡 ≤ 0
𝑓(𝑡) = { −𝑎𝑡 , 𝑎>0
𝑒 , 𝑡 >0

2𝐾, |𝑥| ≤ 2
3.2. Determine the Fourier transforms of a) 𝑓 (𝑥) = { , 𝐾 𝑖𝑠 𝑎 𝑐𝑜𝑛𝑠𝑡𝑎𝑛𝑡
0, |𝑥| > 2
2𝐾, |𝑥| ≤ 1
b) 𝑔(𝑥) = { , 𝐾 𝑖𝑠 𝑎 𝑐𝑜𝑛𝑠𝑡𝑎𝑛𝑡
0, |𝑥| > 1
c) Sketch the function ℎ(𝑥) = 𝑓(𝑥) − 𝑔 (𝑥) and determine its Fourier transform
3.3. Calculate the Fourier transform of the ‘off-on-off’ pulse 𝑓 (𝑡) defined by
0, 𝑡 < −2
−1, − 2 ≤ 𝑡 < −1
𝑓 (𝑡) = 1, − 1 < 𝑡 < 1
−1, 1 < 𝑡 < 2
{ 0, 𝑡 > 2
𝜋
sin 𝑎𝑥 , | 𝑥| ≤
𝑎
3.4. Show that the Fourier transform of 𝑓 (𝑥) = { , 𝑎 ≠0 is
0, | 𝑥| > 𝜋
𝑎
𝑖2𝑎 sin( 𝜋𝛼⁄𝑎)
𝛼2 −𝑎2
0,
𝑥 <0
1−cos𝑥𝑎 sin 𝑥𝑎
3.5. Show that the Fourier transform of 𝑓(𝑥) = {1, 0 ≤ 𝑥 ≤ 𝑎 are ,
𝑥 𝑥
0, 𝑥 > 𝑎
3.6. Find the sine and cosine transforms of 𝑓 (𝑥) = 𝑒 −𝑎𝑥 𝐻(𝑥) , 𝑎 > 0
3.7. If 𝑦 (𝑡) and 𝑢(𝑡) are signals with Fourier transforms 𝑌(𝑖𝛼) and 𝑈 (𝑖𝛼) respectively,
and
𝑑 2 𝑦(𝑡) 𝑑𝑦(𝑡)
2 +3 + 𝑦(𝑡) = 𝑢(𝑡)
𝑑𝑡 𝑑𝑡
Show that 𝑌 (𝑖𝛼) = 𝐻(𝑖𝛼) 𝑈(𝑖𝛼) for some function 𝐻 (𝑖𝛼). What is 𝐻(𝑖𝛼) ?
3.8. Use the time- shift property to calculate the Fourier transform of the double pulse by
1, 1 ≤ | 𝑡| ≤ 2
𝑓 (𝑡) = {
0, 𝑜𝑡ℎ𝑒𝑟𝑤𝑖𝑠𝑒
Unit II PARTIAL DIFFERENTIAL EQUATIONS INCLUDING BOUNDARY

VALUE PROBLEMS
2.0.INTRODUCTION
We will study functions 𝑢 = 𝑢(𝑥1 , 𝑥 2 ,𝑥 3 ,𝑥 4 , ⋯ , 𝑥𝑛 ) and its partial derivatives. Here
(𝑥1 , 𝑥 2 ,𝑥 3 ,𝑥 4 , ⋯ , 𝑥𝑛 ) are standard Cartesian coordinate on ℝ𝑛 . We sometimes use the
alternate notation 𝑢(𝑥, 𝑦), 𝑢(𝑥, 𝑦, 𝑧) etc. We also 𝑢(𝑟, 𝜃, 𝛷) for spherical coordinate on

ℝ3 ,etc. We sometimes also have a time coordinate 𝑡, in which case 𝑡, 𝑥1 ,𝑥 2 , 𝑥3 , 𝑥 4, ⋯ , 𝑥 𝑛
denoted standard Cartesian coordinate on ℝ1+𝑛.
We use lots of different notation for partial derivatives:
𝜕
𝑢 = 𝜕𝑖 𝑢; 1≤𝑖≤𝑛 (0.1)
𝜕𝑥 𝑖
𝜕2 𝜕 𝜕
𝑢= 𝑢 = 𝑢𝑥𝑖 𝑢𝑥𝑗 ; 1 ≤ 𝑖, 𝑗 ≤ 𝑛 (0.2)
𝜕𝑥 𝑖 𝜕𝑥𝑗 𝜕𝑥 𝑖 𝜕𝑥𝑗
If 𝑖 = 𝑗, then we sometimes abbreviate 𝜕𝑖 𝜕𝑗 𝑢 ≝ 𝜕𝑖2 𝑢. If 𝑢 is a function of (𝑥, 𝑦), then we
𝜕
also write 𝑢𝑥 = 𝑢, etc.
𝜕𝑥
Definition 0.1: A partial differential equation (PDE) in a single unknown 𝑢 is an equation

involving 𝑢 and its partial derivatives. All such equations can be written as
𝐹 (𝑢, 𝑢𝑥1 ⋯ , 𝑢𝑥𝑛 , 𝑢𝑥1 𝑢𝑥1 , ⋯ , 𝑢𝑥𝑖1 ⋯𝑥𝑖 , 𝑥1 , 𝑥 2, 𝑥 3 ,𝑥 4 ,⋯ , 𝑥 𝑛 ) = 0, 𝑖1 , ⋯ , 𝑖𝑁

𝑁
∈ {1 , 2, ⋯ , 𝑛} (0.3)
Here 𝑁 is called the order of the PDE. 𝑁is the maximum number of derivatives appearing
in the equation.
Definition 0.2: The order of a PDE is the order of the highest derivatives appearing in the
differentials.
Examples 0.1: Consider 𝑢 = 𝑢(𝑡, 𝑥) as a function of two variables
1) 𝜕𝑡2 𝑢 + (1 + cos 𝑢)𝜕𝑥3 𝑢 = 0 is a third-order PDE
2) 𝜕𝑡2 𝑢 + 2𝜕𝑥2 𝑢 + 𝑢 = 0 is a second-order PDE
Definition 0.3: A PDE is termed linear PDE if and only if it is linear in the unknown
function 𝑢 and the partial derivatives of 𝑢. All other PDE are termed non-linear PDE.
A linear PDE can be written as
ℒ𝑢 = 𝑓(𝑥1 ,𝑥 2 , 𝑥3 , 𝑥 4, ⋯ , 𝑥 𝑛)
For some linear operator ℒ and some function 𝑓 of the coordinates.
ℒ is a linear operator iff ℒ(𝑎𝑢 + 𝑏𝑣) = 𝑎ℒ (𝑢) + 𝑏ℒ(𝑣) for 𝑎, 𝑏 ∈ ℝ and all function 𝑢, 𝑣.
Examples 0.2: Consider = 𝑢(𝑡, 𝑥) , 𝑢 = 𝑢(𝑥, 𝑦) 𝑎𝑛𝑑 𝑣 = 𝑣(𝑥, 𝑦) as functions of two
variables
1) 𝜕𝑡2 𝑢 + (1 + cos 𝑢)𝜕𝑥3 𝑢 = 0 is a third-order non-linear PDE
2) 𝜕𝑡2 𝑢 + 2𝜕𝑥2 𝑢 + 𝑢 = 0 is a second-order linear PDE
3) Cauchy-Riemann equations
Are first order linear PDE

Definition 0.4: If each term of a linear PDE contains the unknown function 𝑢 or one of
the partial derivatives of 𝑢, then a PDE is called Homogeneous PDE, otherwise is a
inhomogeneous PDE.
Examples 0.3: Consider = 𝑢(𝑡, 𝑥) , 𝑢 = 𝑢(𝑥, 𝑦) 𝑎𝑛𝑑 𝑣 = 𝑣(𝑥, 𝑦) as functions of two
variables
1) 𝜕𝑡2 𝑢 + (1 + cos 𝑢)𝜕𝑥3 𝑢 = 0 is a third-order non-linear homogeneous PDE
2) 𝜕𝑡2 𝑢 + 2𝜕𝑥2 𝑢 + 𝑢 = 𝑥 + 3𝑡 is a second-order linear inhomogeneous PDE
In general ℒ𝑢 = 𝑓(𝑥1 , 𝑥 2 ,𝑥 3 ,𝑥 4 , ⋯ , 𝑥 𝑛 ) is an homogeneous PDE iff
𝑓 (𝑥1 , 𝑥 2, 𝑥 3 ,𝑥 4 ,⋯ , 𝑥 𝑛 ) = 0
Remarks:
• We say that a given PDE is constant coefficient linear PDE iff 𝑢 and its derivatives
appear linearly(i.e. first power only) and are multiplied only by a constants;
• We say that a given PDE is variable coefficient linear PDE iff 𝑢 and its derivatives
appear linearly (i.e. first power only) and are multiplied only by a function of
coordinates.
Examples 0.4: Consider 𝑢 = 𝑢(𝑡, 𝑥) as a function of two variables
1) −𝜕𝑡2 𝑢 + 2𝜕𝑥2 𝑢 + 𝑢 = 0 is constant coefficient linear homogeneous PDE
2) 𝜕𝑡 𝑢 + 2(1 + 𝑥 2 )𝜕𝑥3 𝑢 + 𝑢 = 𝑥 + 3𝑡 is variable coefficient linear inhomogeneous
PDE
Proposition 0.1: (Superposition principle). If 𝑢1 , 𝑢2 , 𝑢3 ,⋯ , 𝑢𝑛 are solution to the linear
PDE
ℒ𝑢 = 0, then its linear combination is also a solution
𝑛
∑ 𝑐𝑖 𝑢𝑖 , 𝑓𝑜𝑟 𝑐1 , 𝑐2 , ⋯ , 𝑐𝑛 ∈ ℝ
𝑖=0
Is also a solution of linear homogeneous PDE.

Some important partial differential equations
The following are examples of important partial differential equations that commonly
arise in problems of mathematical physics.
Benjamin-Bona-Mahony equation Biharmonic equation
Boussinesq equation Cauchy-Riemann equations
Chaplygin's equation Euler-Darboux equation
Heat conduction equation Helmholtz differential equation
Klein-Gordon equation Korteweg-de Vries-Burgers

equation
Korteweg-de Vries equation Krichever-Novikov equation
where
Laplace's equation Lin-Tsien equation Sine-Gordon equation

Spherical harmonic differential equation Tricomi equation
Wave equation
2.1.FORMATION AND SOLUTION OF STANDARD TYPES OF FIRST

ORDER EQUATIONS
2.1.1. Formation of first order PDE
In the main we shall suppose that there are two independent variables 𝑥 and 𝑦 and that the
dependent variable is denoted by 𝑧. If we write
𝜕𝑧 𝜕𝑧
𝑝= , 𝑞=
𝜕𝑥 𝜕𝑦
, then the 1 st order PDE is written as:
𝒇(𝒙, 𝒚, 𝒛, 𝒑, 𝒒) = 𝟎 (𝟏. 𝟏)
Examples 1.1: If, for example, we take u to be the dependent variable and 𝑥, 𝑦 and 𝑡 to be
independent variables, then the following equations:
𝜕𝑢 2 𝜕𝑢
1) ( ) + = 0 is a first-order in two variables,
𝜕𝑥 𝜕𝑡
𝜕𝑢 𝜕𝑢 𝜕𝑢
2) 𝑥 +𝑦 + = 0 is a first-order in three variables.
𝜕𝑥 𝜕𝑦 𝜕𝑡
2.1.2. Origins of first order PDE

Before discussing the solution of equation of the type (1.1), we shall examine the
interesting question of how they arise.
Suppose that we consider the equation
𝑥 2 + 𝑦 2 + (𝑧 − 𝑐) 2 = 𝑎 2 (∗)

In which the constants 𝑎 and 𝑐 are arbitrary. Then equation (*) represents the set of all
spheres whose centers lie along the 𝑧 axis. If we differentiate this equation with respect to
𝑥 and with respect to 𝑦 respectively, then we get:
𝑥 + 𝑝 (𝑧 − 𝑐) = 0 𝑎𝑛𝑑 𝑦 + 𝑞(𝑧 − 𝑐) = 0 (∗∗)
By eliminating of arbitrary constant 𝑐 from two equations of (**), then we obtain the
PDE as:
𝒚𝒑 − 𝒙𝒒 = 𝟎 (∗∗∗)
The equation (***) is called the first-order PDE. In some sense, then, the set of all spheres
with centers on the 𝑧 axis is characterized by the PDE (***).
Problem 2.1
Eliminate the constants 𝑎 and 𝑏 from the following equations:
a) 𝑧 = (𝑥 + 𝑎) (𝑦 + 𝑏)
b) 2𝑧 = (𝑎𝑥 + 𝑦) 2 + 𝑏
c) 𝑎𝑥 2 + 𝑏𝑦 2 + 𝑧 2 = 1
2.2.LAGRANGE’S LINEAR PDE
2.2.1. Formulation of Lagrange’s linear PDE
By eliminating of arbitrary functions
Let 𝑢 and 𝑣 be any two given functions of 𝑥, 𝑦 and 𝑧. Let 𝑢 and 𝑣 be connected by an
arbitrary function 𝜑 by the relation
𝝋(𝒖, 𝒗) = 𝟎 (∗∗∗∗)
Now, we want to eliminate 𝜑.
Differentiating partially, with respect 𝑥and 𝑦, we obtain
𝜕𝜑 𝜕𝜑 𝜕𝑢 𝜕𝜑 𝜕𝑢 𝜕𝑧 𝜕𝜑 𝜕𝑣 𝜕𝜑 𝜕𝑣 𝜕𝑧
= + + + =0
𝜕𝑥 𝜕𝑢 𝜕𝑥 𝜕𝑢 𝜕𝑧 𝜕𝑥 𝜕𝑣 𝜕𝑥 𝜕𝑣 𝜕𝑧 𝜕𝑥
𝜕𝜑 𝜕𝜑 𝜕𝑢 𝜕𝜑 𝜕𝑢 𝜕𝑧 𝜕𝜑 𝜕𝑣 𝜕𝜑 𝜕𝑣 𝜕𝑧
= + + + =0
{ 𝜕𝑦 𝜕𝑢 𝜕𝑦 𝜕𝑣 𝜕𝑧 𝜕𝑦 𝜕𝑣 𝜕𝑦 𝜕𝑣 𝜕𝑧 𝜕𝑦
𝜕𝜑 𝜕𝜑 𝜕𝑢 𝜕𝑢 𝜕𝜑 𝜕𝑣 𝜕𝑣
= ( + 𝑝) + ( + 𝑝) = 0
𝜕𝑥 𝜕𝑢 𝜕𝑥 𝜕𝑧 𝜕𝑣 𝜕𝑥 𝜕𝑧
𝜕𝜑 𝜕𝜑 𝜕𝑢 𝜕𝑣 𝜕𝜑 𝜕𝑣 𝜕𝑣
= ( + 𝑞) + ( + 𝑞) = 0
{ 𝜕𝑦 𝜕𝑢 𝜕𝑦 𝜕𝑧 𝜕𝑣 𝜕𝑦 𝜕𝑧
𝜕𝜑 𝜕𝜑
Eliminating and , then we obtain
𝜕𝑢 𝜕𝑣
𝜕𝑢 𝜕𝑢 𝜕𝑣 𝜕𝑣
+𝑝 +𝑝
|𝜕𝑥 𝜕𝑧 𝜕𝑥 𝜕𝑧 |
𝜕𝑢 𝜕𝑣 𝜕𝑣 𝜕𝑣 = 0
+𝑞 +𝑞
𝜕𝑦 𝜕𝑧 𝜕𝑦 𝜕𝑧
Which simplifies to
𝑷𝒑 + 𝑸𝒒 = 𝑹 (𝟏. 𝟐)
𝜕𝑢 𝜕𝑣 𝜕𝑢 𝜕𝑣 𝜕( 𝑢,𝑣)
𝑃= − ≡
𝜕𝑦 𝜕𝑧 𝜕𝑧 𝜕𝑦 𝜕( 𝑦,𝑧)
𝜕𝑢 𝜕𝑣 𝜕𝑢 𝜕𝑣 𝜕( 𝑢,𝑣)
Where 𝑄 = 𝜕𝑧 𝜕𝑥
−
𝜕𝑥 𝜕𝑧
≡
𝜕( 𝑧,𝑥)
𝜕𝑢 𝜕𝑣 𝜕𝑢 𝜕𝑣 𝜕( 𝑢,𝑣)
{𝑅 = 𝜕𝑥 𝜕𝑦
−
𝜕𝑦 𝜕𝑥
≡
𝜕( 𝑥,𝑦)
The equation (1.2) is called Lagrange’s linear PDE

The relation 𝜑(𝑢, 𝑣) = 0 is a solution of (1.2), whatever may the arbitrary function 𝜑 be.
Examples 1.2: Form the PDE by eliminating the arbitrary function from
i) 𝑧 = 𝑓(𝑥 2 + 𝑦 2 )
ii) 𝜑(𝑥 2 + 𝑦 2 + 𝑦 2 , 𝑙𝑥 + 𝑚𝑦 + 𝑛𝑧) = 0
Answer:
i) Differentiating partially, with respect 𝑥and 𝑦, we obtain
𝜕𝑧
= 𝑝 = 2𝑥𝑓 ′ (𝑥 2 + 𝑦 2 )
𝜕𝑥
𝜕𝑧
= 𝑞 = 2𝑦𝑓 ′ (𝑥 2 + 𝑦 2 )
{𝜕𝑦
𝑝 𝑥
Dividing, = → 𝑝𝑦 − 𝑞𝑥 = 0
𝑞 𝑦
𝝏𝒛 𝝏𝒛
𝒚 −𝒙 =𝟎
𝝏𝒙 𝝏𝒚
ii) Now the given relation is of the form 𝜑 (𝑢, 𝑣) = 0 where
𝑢 = 𝑥 2 + 𝑦2 + 𝑦2
{
𝑣 = 𝑙𝑥 + 𝑚𝑦 + 𝑛𝑧
Hence, the PDE is
𝑃𝑝 + 𝑄𝑞 = 𝑅
𝜕𝑢 𝜕𝑣 𝜕𝑢 𝜕𝑣
𝑃= − = 2𝑛𝑦 − 2𝑚𝑧
𝜕𝑦 𝜕𝑧 𝜕𝑧 𝜕𝑦
𝜕𝑢 𝜕𝑣 𝜕𝑢 𝜕𝑣
Where 𝑄= − = 2𝑙𝑧 − 2𝑛𝑥
𝜕𝑧 𝜕𝑥 𝜕𝑥 𝜕𝑧
𝜕𝑢 𝜕𝑣 𝜕𝑢 𝜕𝑣
{ 𝑅 = 𝜕𝑥 𝜕𝑦 − 𝜕𝑦 𝜕𝑥 = 2𝑚𝑥 − 2𝑙𝑦
Therefore the required PDE is
(2𝑛𝑦 − 2𝑚𝑧)𝑝 + (2𝑙𝑧 − 2𝑛𝑥) 𝑞 = (2𝑚𝑥 − 2𝑙𝑦)
𝝏𝒛 𝝏𝒛
(𝒏𝒚 − 𝒎𝒛) + (𝒍𝒛 − 𝒏𝒙) = (𝒎𝒙 − 𝒍𝒚)
𝝏𝒙 𝝏𝒚
Problem 2.2
1. Form the PDE by eliminating the arbitrary functions from:
a) 𝑧 = 𝑓(𝑥 2 + 𝑦 2 ) b) 𝑧 = 𝑓 (𝑥 + 𝑐𝑡) + 𝛷(𝑥 − 𝑐𝑡) c) 𝑧 = 𝑓(𝑎𝑥 + 𝑏𝑦) + 𝑔(𝛼𝑥 +
𝛽𝑦)
d) 𝑧 = 𝑥𝑦 + 𝑓(𝑥 2 + 𝑦 2 + 𝑧 2 ) e) 𝑧 = 𝑓(𝑥 2 + 𝑦 2 + 𝑧 2 , 𝑥 + 𝑦 + 𝑧)
f) 𝑧 = 𝑓 (2𝑥 + 𝑦) + 𝑔(3𝑥 − 𝑦)
2.2.2. Solution of Lagrange’s linear PDE
Theorem 1.1: The general solution of the linear PDE 𝑷𝒑 + 𝑸𝒒 = 𝑹 is 𝜑(𝑢, 𝑣) = 0
Where 𝜑 is an arbitrary function and 𝑢(𝑥, 𝑦, 𝑧) = 𝑐1 and 𝑣 (𝑥, 𝑦, 𝑧) = 𝑐2form a solution
of the equations
𝒅𝒙 𝒅𝒚 𝒅𝒛
= = (𝟏. 𝟑)
𝑷 𝑸 𝑹
Procedure: To solve the equation 𝑷𝒑 + 𝑸𝒒 = 𝑹 we follow the following steps:
STEP1: Form the auxiliary simultaneous equations
𝒅𝒙 𝒅𝒚 𝒅𝒛
= =
𝑷 𝑸 𝑹
STEP2: Solve these auxiliary simultaneous equations giving two independent solutions
𝑢(𝑥, 𝑦, 𝑧) = 𝑐1 and 𝑣(𝑥, 𝑦, 𝑧) = 𝑐2 ;
STEP3: Then write down the solution as 𝜑(𝑢, 𝑣) = 0 or 𝑢 = 𝑓(𝑣) or 𝑣 = 𝐹(𝑢), where the
function is arbitrary.
Examples 1.3: Find the general integral of 𝑝𝑥 + 𝑞𝑦 = 𝑧
Answer: In term of comparison of 𝒑 + 𝑸𝒒 = 𝑹 , we get:
𝑃 = 𝑥, 𝑄 = 𝑦, 𝑎𝑛𝑑 𝑅 = 𝑧
STEP1: Form the auxiliary simultaneous equations
𝑑𝑥 𝑑𝑦 𝑑𝑧 𝑑𝑥 𝑑𝑦 𝑑𝑧
= = ↔ = =
𝑃 𝑄 𝑅 𝑥 𝑦 𝑧
STEP2: Solve these auxiliary simultaneous equations

𝑑𝑥 𝑑𝑦 𝑥
= = 𝑐1
𝑥 𝑦 ln 𝑥 = ln 𝑐1 𝑦 𝑦
→{ → {𝑦
𝑑𝑦 𝑑𝑧 ln 𝑦 = ln 𝑐2 𝑧
= = 𝑐2
{𝑦 𝑧 𝑧
𝑥 𝑦
two independent solutions 𝑢(𝑥, 𝑦) = = 𝑐1 and 𝑣(𝑦, 𝑧) = = 𝑐2 ;
𝑦 𝑧
𝑥 𝑦
STEP3: Then write down the solution as 𝜑(𝑢, 𝑣) = 𝜑 ( , ) = 0
𝑦 𝑧
Solution of the subsidiary equation by the method of multipliers

𝑑𝑥 𝑑𝑦 𝑑𝑧
The subsidiary equations = = can be solved as follows:
𝑃 𝑄 𝑅
𝑑𝑥 𝑑𝑦 𝑑𝑧 𝑙𝑑𝑥+𝑚𝑑𝑦+𝑛𝑑𝑧 𝑙′𝑑𝑥+𝑚′𝑑𝑦+𝑛′𝑑𝑧
By algebra, we have, = = = =
𝑃 𝑄 𝑅 𝑙𝑃+𝑚𝑄+𝑛𝑅 𝑙′𝑃+𝑚′𝑄+𝑛′𝑅
Where the set of multipliers 𝑙, 𝑚, 𝑛; 𝑙 ′ ,𝑚′ , 𝑛′ by be constants or variables in 𝑥, 𝑦, 𝑧.

Choosing 𝑙, 𝑚, 𝑛 such that 𝑙𝑃 + 𝑚𝑄 + 𝑛𝑅 = 0, we have
𝒍𝒅𝒙 + 𝒎𝒅𝒚 + 𝒏𝒅𝒛 = 𝟎 (𝟏. 𝟒)
If 𝑙𝑑𝑥 + 𝑚𝑑𝑦 + 𝑛𝑑𝑧 is a perfect differential of some function, say 𝑢(𝑥, 𝑦, 𝑧) then 𝑑𝑢 = 0
, by(1.4). By integrating (1.4), we get 𝑢(𝑥, 𝑦, 𝑧) = 𝑐1 as one solution.
Similarly, the other set of multipliers 𝑙 ′, 𝑚′ , 𝑛′ can be found out so that 𝑙 ′ 𝑃 + 𝑚′ 𝑄 + 𝑛′ 𝑅 =
0
Hence 𝑙 ′ 𝑑𝑥 + 𝑚′ 𝑑𝑦 + 𝑛′ 𝑑𝑧 = 0
This yield another solution 𝑣 (𝑥, 𝑦, 𝑧) = 𝑐2
Therefore the general solution is 𝜑 (𝑢, 𝑣) = 0, 𝑜𝑟 𝑢 = 𝑓(𝑣).
Here, the set of multipliers 𝑙, 𝑚, 𝑛 and 𝑙 ′ ,𝑚′ , 𝑛′are called Lagrangian multipliers.
Examples 1.4: Find the general solution of 𝑥 (𝑧 2 − 𝑦 2 )𝑝 + 𝑦 (𝑥 2 − 𝑧 2 )𝑞 = 𝑧(𝑦 2 − 𝑥 2 )
The subsidiary equations are
𝑑𝑥 𝑑𝑦 𝑑𝑧
= = (∗)
𝑥(𝑧 2 − 𝑦 2 ) 𝑦( 𝑥 2 − 𝑧 2 ) 𝑧(𝑦 2 − 𝑥 2 )
As 𝑙𝑃 + 𝑚𝑄 + 𝑛𝑅 = 0 ↔ 𝑙𝑥(𝑧 2 − 𝑦 2 ) + 𝑚𝑦(𝑥 2 − 𝑧 2 ) + 𝑛𝑧 (𝑦 2 − 𝑥 2 ) = 0
1 1 1
Taking the two sets of multipliers multipliers as 𝑥, 𝑦, 𝑧 and , , ,each of ratio in (∗), we
𝑥 𝑦 𝑧
get
1 1 1
𝑥𝑑𝑥 + 𝑦𝑑𝑦 + 𝑧𝑑𝑧 𝑑𝑥 + 𝑑𝑦 + 𝑑𝑧
𝑥 𝑦 𝑧
= 2
𝑥 (𝑧 − 𝑦 ) + 𝑦 (𝑧 − 𝑦 ) + 𝑧 (𝑧 − 𝑦 ) (𝑧 − 𝑦 ) + (𝑧 − 𝑦 ) + (𝑧 2 − 𝑦 2 )
2 2 2 2 2 2 2 2 2 2 2 2

1 1 1
𝑥𝑑𝑥 + 𝑦𝑑𝑦 + 𝑧𝑑𝑧 𝑥 𝑑𝑥 + 𝑦 𝑑𝑦 + 𝑧 𝑑𝑧
=
0 0
1 1 1
Hence 𝑥𝑑𝑥 + 𝑦𝑑𝑦 + 𝑧𝑑𝑧 and 𝑑𝑥 + 𝑑𝑦 + 𝑑𝑧
𝑥 𝑦 𝑧
1
By integrating we get, ∫ 𝑥𝑑𝑥 + ∫ 𝑦𝑑𝑦 + ∫ 𝑧 𝑑𝑧 = 𝑥 2 + 𝑦 2 + 𝑧 2 = 𝑐1 and ∫ 𝑑𝑥 +
𝑥
1 1
∫ 𝑑𝑦 + ∫ 𝑑𝑧 = ln 𝑥 + ln 𝑦 + ln 𝑧 ≡ ln 𝑥𝑦𝑧 = 𝑐2 ↔ 𝑥𝑦𝑧 = 𝑒 𝑐2 = 𝑐3
𝑦 𝑧
The general solution is 𝜑(𝑥 2 + 𝑦 2 + 𝑧 2 , 𝑥𝑦𝑧) = 0

𝑦2 𝑧
Examples 1.5: Find the general solution of 𝑝 + 𝑥𝑧𝑞 = 𝑦 2
𝑥
The subsidiary equations are

𝑥𝑑𝑥 𝑑𝑦 𝑑𝑧
= = (∗)
𝑦 2 𝑧 𝑥𝑧 𝑦 2
𝑥𝑑𝑥 𝑑𝑦
= ↔ 𝑥 2 𝑑𝑥 = 𝑦 2 𝑑𝑦 → ∫ 𝑥 2 𝑑𝑥 = ∫ 𝑦 2 𝑑𝑦 ↔ 𝑥 3 − 𝑦 3 = 𝑐1
𝑦 2 𝑧 𝑥𝑧
𝑥𝑑𝑥 𝑑𝑧 𝑥𝑑𝑥
2 = 2↔ = 𝑑𝑧 ↔ 𝑥𝑑𝑥 = 𝑧𝑑𝑧 → ∫ 𝑥 𝑑𝑥 = ∫ 𝑧 𝑑𝑧 ↔ 𝑥 2 − 𝑦 2 = 𝑐2
𝑦 𝑧 𝑦 𝑧
Hence the general solution is 𝜑(𝑥 3 − 𝑦 3 , 𝑥 2 − 𝑦 2 ) = 0
2.3.METHODS OF SOLVING 1 st ORDER PDES
𝜕𝑧 𝜕𝑧
The PDE of the 1 st order can be written as 𝐹 (𝑥, 𝑦, 𝑧, 𝑝, 𝑞) = 0, where 𝑝 = and 𝑞 = .
𝜕𝑥 𝜕𝑦
We shall see some standard forms of such equations and solve them by special methods.
2.3.1. Type 1. 𝑭( 𝒑, 𝒒) = 𝟎
If the PDE contains 𝑝 and 𝑞 only, then suppose that 𝑧 = 𝑎𝑥 + 𝑏𝑦 + 𝑐 is a solution of the
equation 𝐹 ( 𝑝, 𝑞) = 0
𝜕𝑧 𝜕𝑧
Then 𝑝 = = 𝑎 and 𝑞 = =𝑏
𝜕𝑥 𝜕𝑦
After substituting these in a given PDE, then we obtain 𝐹( 𝑎, 𝑏) = 0

Hence the complete solution of a given PDE is 𝑧 = 𝑎𝑥 + 𝑏𝑦 + 𝑐, where 𝐹 ( 𝑎, 𝑏) = 0
Solving for 𝑏 from 𝐹( 𝑎, 𝑏) = 0, we get 𝑏 = 𝜑(𝑎)
Then 𝒛 = 𝒂𝒙 + 𝝋(𝒂)𝒚 + 𝒄 is a complete integral of a given PDE, since it contains two
arbitrary constants.
Singular integral is got by eliminating 𝑎 and 𝑐 from 𝒛 = 𝒂𝒙 + 𝝋(𝒂)𝒚 + 𝒄 as
𝜕𝑧
=0=𝑥
𝜕𝑎
𝜕𝑧
= 0=1
𝜕𝑐
This last equation being absurd, there is no singular integral for a given PDE.
For finding the general solution, put 𝑐 = 𝑓(𝑎), 𝑓 being arbitrary
𝒛 = 𝒂𝒙 + 𝝋(𝒂)𝒚 + 𝒇(𝒂)
Then { 𝒂𝒏𝒅
𝝏𝒛
= 𝟎 = 𝒂 + 𝒚𝝋′ (𝒂) + 𝒇′ (𝒂)
𝝏𝒂
For eliminating 𝑎 from this above system, then we obtain the general solution.
Examples 1.6: Solve this PDE 𝑝 2 + 𝑞 2 = 𝑛𝑝𝑞
Answer: The solution of this PDE is 𝑧 = 𝑎𝑥 + 𝑏𝑦 + 𝑐 subject to 𝑎 2 + 𝑏 2 = 𝑛𝑎𝑏
𝑛𝑎±√𝑛2 𝑎2−4𝑎2 𝑎
Solving for 𝑏, we get 𝑏 = = [𝑛 ± √𝑛2 − 4]
2 2
𝑎
Hence the complete solution is 𝑧 = 𝑎𝑥 + [𝑛 ± √𝑛2 − 4 ]𝑦 + 𝑐
2
𝜕𝑧
As = 0 = 1 which is absurd, then there is no singular solution
𝜕𝑐
For finding the general solution, put 𝑐 = 𝑓(𝑎), 𝑓 being arbitrary

𝑎
𝑧 = 𝑎𝑥 + [𝑛 ± √𝑛2 − 4] 𝑦 + 𝑓(𝑎)
2
Then { 𝑎𝑛𝑑
𝜕𝑧 1
= 0 = 𝑎 + [𝑛 ± √𝑛2 − 4] 𝑦) + 𝑓 ′ (𝑎)
𝜕𝑎 2
𝑎
𝑧 = 𝑎𝑥 + [𝑛 ± √𝑛2 − 4] 𝑦 + 𝑓(𝑎)
2
𝑎𝑛𝑑
𝜕𝑧 1
= 0 = 𝑥 + [𝑛 ± √𝑛2 − 4] 𝑦) + 𝑓 ′ (𝑎)
{𝜕𝑎 2
Eliminating 𝑎 between above system, then we obtain the general solution of a given PDE.
2.3.2. Type 2. Clairaut’form 𝒛 = 𝒑𝒙 + 𝒒𝒚 + 𝒇(𝒑, 𝒒)
Suppose that the given PDE is of the form 𝑧 = 𝑝𝑥 + 𝑞𝑦 + 𝑓(𝑝, 𝑞) (1)
Its complete solution is 𝑧 = 𝑎𝑥 + 𝑏𝑦 + 𝑓(𝑎, 𝑏) (2)
Where 𝑎 and 𝑏 are arbitrary constants.
Differential (2) partially with respect to 𝑎 and 𝑏, we get

𝜕𝑧 𝜕𝑓
=𝑥+ =0
𝜕𝑎 𝜕𝑎
𝑎𝑛𝑑 (3)
𝜕𝑧 𝜕𝑓
{𝜕𝑏 = 𝑦 + 𝜕𝑏 = 0
By eliminating 𝑎 and 𝑏 from (2), and (3), we get the singular solution of (1).
Taking 𝑏 = 𝜑(𝑎), (2) becomes
𝑧 = 𝑎𝑥 + 𝜑(𝑎)𝑦 + 𝑓(𝑎, 𝜑(𝑎)) (4)
Differential (4) partially with respect to 𝑎, we get
𝜕𝑧
= 0 = 𝑥 + 𝜑 ′ (𝑎), 𝑦 + 𝑓 ′ (𝑎, 𝜑(𝑎)) (5)
𝜕𝑎
Eliminating 𝑎 between (4) and (5), then we obtain the general solution of a given PDE.
Examples 1.7: Solve this PDE 𝑧 = 𝑝𝑥 + 𝑞𝑦 + 𝑝 2 𝑞 2
Answer: This is Clairaut’s form
The complete solution of this PDE is 𝑧 = 𝑎𝑥 + 𝑏𝑦 + 𝑎 2 𝑏 2
Differential 𝑧 = 𝑎𝑥 + 𝑏𝑦 + 𝑎 2 𝑏 2 partially with respect to 𝑎 and 𝑏, we get
𝜕𝑧
= 0 = 𝑥 + 2𝑎𝑏 2
𝜕𝑎 𝑥 = −2𝑎𝑏 2
𝑎𝑛𝑑 ↔ { 𝑎𝑛𝑑
𝜕𝑧 2 𝑦 = −2𝑎 2 𝑏
{𝜕𝑏 = 0 = 𝑦 + 2𝑎𝑏
𝑥 𝑦 1
= = −2𝑎𝑏 = → 𝑎 = 𝑘𝑦 𝑎𝑛𝑑 𝑏 = 𝑘𝑥
𝑏 𝑎 𝑘
1
𝑥 = −2𝑎𝑏 2 = −2𝑘 3 𝑦𝑥 2 → 𝑘 3 = −
2𝑥𝑦
𝑧 = 𝑎𝑥 + 𝑏𝑦 + 𝑎 2 𝑏 2 ↔ 𝑧 = 𝑘𝑥𝑦 + 𝑘𝑥𝑦 + 𝑘 4 𝑥 2 𝑦 2
1 𝑘 3
𝑧 = 2𝑘𝑥𝑦 + 𝑘𝑥 2 𝑦 2 (− ) = 2𝑘𝑥𝑦 − 𝑥𝑦 = 𝑘𝑥𝑦
2𝑥𝑦 2 2
27 3 3 3 27 1 27
𝑧3 = 𝑘 𝑥 𝑦 = (− ) 𝑥 3𝑦3 = − 𝑥 2𝑦2
8 8 2𝑥𝑦 16
16𝑧 3 + 27𝑥 2 𝑦 2 = 0 is a singular solution
Taking 𝑏 = 𝜑(𝑎), (2) becomes
𝑧 = 𝑎𝑥 + 𝜑(𝑎), 𝑦 + 𝑎 2 [𝜑(𝑎)]2 , (*)
Differential (*) partially with respect to 𝑎, we get
𝜕𝑧
= 0 = 𝑥 + 𝜑 ′ (𝑎) 𝑦 + 2𝑎 [𝜑(𝑎)] 2 + 2𝑎 2 𝜑 ′(𝑎) (∗∗)
𝜕𝑎
Eliminating 𝑎 between (*) and (**), then we obtain the general solution of a given PDE
2.3.3. Type 3.
Case1. 𝑭(𝒛, 𝒑, 𝒒) = 𝟎
This PDE form not containing 𝑥 and 𝑦explicitily. As a trial solution, assume that 𝑧 is a
function of 𝑢 = 𝑥 + 𝑎𝑦, where 𝑎 is an arbitrary constant.
𝑧 = 𝑓(𝑢) = 𝑓(𝑥 + 𝑎𝑦)
𝜕𝑧 𝑑𝑧 𝜕𝑢 𝑑𝑧 𝑑𝑧
𝑝= = . = .1=
𝜕𝑥 𝑑𝑢 𝜕𝑥 𝑑𝑢 𝑑𝑢
𝜕𝑧 𝑑𝑧 𝜕𝑢 𝑑𝑧 𝑑𝑧
𝑞= = . = .𝑎 = 𝑎
𝜕𝑦 𝑑𝑢 𝜕𝑦 𝑑𝑢 𝑑𝑢
𝑑𝑧 𝑑𝑧
Substituting these values of 𝑝 and 𝑞in 𝐹 (𝑧, 𝑝, 𝑞) = 0, we obtain 𝐹 (𝑧, ,𝑎 ) = 0 which
𝑑𝑢 𝑑𝑢
𝑑𝑧 𝑑𝑧
is an ordinary differential equation of the 1 st order. Solving for , we obtain = 𝜑(𝑧, 𝑎).
𝑑𝑢 𝑑𝑢
𝑑𝑧 𝑑𝑧
= 𝑑𝑢 ↔ ∫ = 𝑢 + 𝑐 → 𝑓(𝑧, 𝑎) = 𝑢 + 𝑐 = 𝑥 + 𝑎𝑦 + 𝑐
𝜑(𝑧, 𝑎) 𝜑(𝑧, 𝑎)
𝒇 (𝒛, 𝒂) = 𝒙 + 𝒂𝒚 + 𝒄
This is the complete integral.
The singular and general integrals are found out as usual.
Case2. 𝑭(𝒙, 𝒑, 𝒒) = 𝟎
Since 𝑧 is a function of 𝑥 and 𝑦, then

𝜕𝑧 𝜕𝑧
𝑑𝑧 = 𝑑𝑥 + 𝑑𝑦 = 𝑝𝑑𝑥 + 𝑞𝑑𝑦
𝜕𝑥 𝜕𝑦
Assume that 𝑞 = 𝑎, then the equation becomes 𝑭(𝒙, 𝒑, 𝒂) = 𝟎
Solving for 𝑝, we obtain 𝑝 = 𝛷(𝑥, 𝑎) →
𝑑𝑧 = 𝛷(𝑥, 𝑎) 𝑑𝑥 + 𝑎𝑑𝑦 → ∫ 𝑑𝑧 = ∫ 𝛷 (𝑥, 𝑎) 𝑑𝑥 + ∫ 𝑎 𝑑𝑦 ↔ 𝑧 = 𝑓(𝑥, 𝑎) + 𝑎𝑦 + 𝑐
𝒛 = 𝒇(𝒙, 𝒂) + 𝒂𝒚 + 𝒄
Is a complete integral of a given PDE since it contains two arbitrary constants 𝑎 and 𝑐.
Case3. 𝑭(𝒚, 𝒑, 𝒒) = 𝟎
Since 𝑧 is a function of 𝑥 and 𝑦, then
𝜕𝑧 𝜕𝑧
𝑑𝑧 = 𝑑𝑥 + 𝑑𝑦 = 𝑝𝑑𝑥 + 𝑞𝑑𝑦
𝜕𝑥 𝜕𝑦
Assume that 𝑝 = 𝑎, then the equation becomes 𝑭(𝒙, 𝒂, 𝒒) = 𝟎
Solving for 𝑞, we obtain 𝑞 = 𝛷(𝑦, 𝑎) →
𝑑𝑧 = 𝑝𝑑𝑥 + 𝛷 (𝑦, 𝑎) 𝑑𝑦 → ∫ 𝑑𝑧 = ∫ 𝑎 𝑑𝑥 + ∫ 𝛷(𝑦, 𝑎) 𝑑𝑦 ↔ 𝑧 = 𝑎𝑥 + 𝑓(𝑦, 𝑎) + 𝑐
𝒛 = 𝒂𝒙 + 𝒇(𝒚, 𝒂) + 𝒄
Is a complete integral of a given PDE since it contains two arbitrary constants 𝑎 and 𝑐.
Examples 1.8: Solve the following PDEs
a) 𝑝(1 + 𝑞) = 𝑞𝑧
b) 𝑞 = 𝑝𝑥 + 𝑝 2
c) 𝑝𝑞 = 𝑦
Answers:
a) 𝑝 (1 + 𝑞) = 𝑞𝑧
𝑑𝑧 𝑑𝑧
Assume 𝑢 = 𝑥 + 𝑎𝑦, 𝑝 = 𝑎𝑛𝑑 𝑞 = 𝑎
𝑑𝑢 𝑑𝑢

𝑑𝑧 𝑑𝑧 𝑑𝑧
Substituting these values of 𝑝 and 𝑞in a given PDE, we obtain (1 + 𝑎 )=𝑎 𝑧
𝑑𝑢 𝑑𝑢 𝑑𝑢
𝑑𝑧 𝑑𝑧 𝑑𝑧 𝑑𝑧
(1 + 𝑎 ) = 𝑎 𝑧 ↔ 1+ 𝑎 = 𝑎𝑧 → 𝑎𝑑𝑧 = (𝑎𝑧 − 1)𝑑𝑢
𝑑𝑢 𝑑𝑢 𝑑𝑢 𝑑𝑢
𝑎𝑑𝑧 1
→∫ = ∫ 𝑑𝑢 ↔ ln(𝑎𝑧 − 1) = 𝑢 + 𝑐
(𝑎𝑧 − 1) 𝑎
1 1
ln (𝑎𝑧 − 1) = (𝑥 + 𝑎𝑦) + 𝑐 = 𝑥 + 𝑦 + 𝑐
𝑎 𝑎
1
ln(𝑎𝑧 − 1) = 𝑥 + 𝑎𝑦 + 𝑐 .This is the complete integral.
𝑎
The singular and general integrals are found out as usual.

b) 𝑞 = 𝑝𝑥 + 𝑝 2
Assume that 𝑞 = 𝑎 = 𝑐𝑜𝑛𝑠𝑡𝑎𝑛𝑡, then the equation becomes 𝑎 = 𝑝𝑥 + 𝑝 2
−𝑥 ± √𝑥 2 + 4𝑎
↔ 𝑝 2 + 𝑝𝑥 + 𝑎 = 0 ↔ 𝑝 =
2
−𝑥±√𝑥2 +4𝑎
Since 𝑑𝑧 = 𝑝𝑑𝑥 + 𝑞𝑑𝑦 = ( ) 𝑑𝑥 + 𝑎𝑑𝑦 = 0
2
−𝑥±√𝑥2 +4𝑎 𝑥2 1
∫ 𝑑𝑧 = ∫ ( ) 𝑑𝑥 + ∫ 𝑎 𝑑𝑦 → 𝑧 = − ± ∫ √𝑥 2 + 4𝑎 𝑑𝑥 + 𝑎𝑦 + 𝑏
2 4 2
𝑥2 1 𝑥 𝑥
𝑧=− ± {2𝑎 sinh −1 ( ) + √𝑥 2 + 4𝑎 } + 𝑎𝑦 + 𝑏
4 2 2√𝑎 2
This is the complete integral. The singular and general integrals are found out as usual.
c) 𝑝𝑞 = 𝑦
Assume that 𝑝 = 𝑎 = 𝑐𝑜𝑛𝑠𝑡𝑎𝑛𝑡, then the equation becomes 𝑎𝑞 = 𝑦
𝑦
↔𝑞=
𝑎
𝑦
Since 𝑑𝑧 = 𝑝𝑑𝑥 + 𝑞𝑑𝑦 = 𝑎𝑑𝑥 + 𝑑𝑦
𝑎
𝑦 𝑦2
∫ 𝑑𝑧 = ∫ 𝑎 𝑑𝑥 + ∫ 𝑑𝑦 → 𝑧 = 𝑎𝑥 + +𝑏
𝑎 𝑎
𝑦2
𝑧 = 𝑎𝑥 + +𝑏
𝑎
This is the complete integral. The singular and general integrals are found out as usual.
2.3.4. Type 4. Separable equations
We say that a 1 st order PDE is separable if it can be written as 𝒇(𝒙, 𝒑) = 𝝋(𝒚, 𝒒)

If these two functions are equally then we assume that are constants, means that 𝑓(𝑥, 𝑝) =
𝜑(𝑦, 𝑞) = 𝑎
Solving for 𝑝 and 𝑞, we get 𝑝 = 𝑓1 (𝑥, 𝑎) and 𝑞 = 𝑓2 (𝑦, 𝑎)
𝜕𝑧 𝜕𝑧
𝑑𝑧 = 𝑑𝑥 + 𝑑𝑦
𝜕𝑥 𝜕𝑦
Hence 𝑑𝑧 = 𝑝𝑑𝑥 + 𝑞𝑑𝑦 = 𝑓1 (𝑥, 𝑎) 𝑑𝑥 + 𝑓2 (𝑦, 𝑎) 𝑑𝑦
∫ 𝑑𝑧 = ∫ 𝑓1 (𝑥, 𝑎) 𝑑𝑥 + ∫ 𝑓2 (𝑦, 𝑎) 𝑑𝑦
𝒛 = ∫ 𝒇𝟏 (𝒙, 𝒂) 𝒅𝒙 + ∫ 𝒇𝟐 (𝒚, 𝒂) 𝒅𝒚 + 𝒃
This expression contains two arbitrary constants and hence it is the complete integral. The
singular and general integrals are found out as usual.
𝑝 2 𝑦(1 + 𝑥 2 ) = 𝑞𝑥 2
Answers:
This equation is separable PDE.
(1 + 𝑥 2 ) 𝑞
𝑝2 = =𝑎
𝑥2 𝑦
(1 + 𝑥 2 ) 𝑥 √𝑎
𝑝2 2 =𝑎→𝑝=
𝑥 √1 + 𝑥 2
𝑞
= 𝑎 → 𝑞 = 𝑎𝑦
𝑦
𝑥 √𝑎
Hence 𝑑𝑧 = 𝑝𝑑𝑥 + 𝑞𝑑𝑦 = 𝑑𝑥 + 𝑎𝑦𝑑𝑦
√1+𝑥2
𝑥
∫ 𝑑𝑧 = √𝑎 ∫ 𝑑𝑥 + 𝑎 ∫ 𝑦 𝑑𝑦
√1 + 𝑥 2
𝟏
𝒛 = √𝒂(𝟏 + 𝒙𝟐) + 𝒂𝒚𝟐 + 𝒃
𝟐
This is the complete integral.
Differentiating partially w.r.t 𝑏, we find that there is no singular integral.
2.3.5. Type 5. Equations reducible to standard forms

Many non-linear PDEs of 1 st order do not fall under any of the four standard types discussed
so far. However, in some cases, it is possible to transform the given PDE into one of the
standard types by change the variables.
Case1. 𝑭(𝒙𝒎 𝒑, 𝒚𝒎 𝒒) = 𝟎, ∀𝒎, 𝒏 𝒂𝒓𝒆 𝒄𝒐𝒏𝒔𝒕𝒂𝒏𝒕𝒔
This type of PDE can be transform into an equation of the 1 st type.
By putting 𝑥 1−𝑚 = 𝑋 and 𝑦 1−𝑛 = 𝑌,where 𝑚 ≠ 1 and 𝑛 ≠ 1, we get
𝜕𝑧 𝜕𝑧 𝑑𝑋 𝜕𝑧
𝑝= = = (1 − 𝑚)𝑥 −𝑚 = (1 − 𝑚)𝑥 −𝑚 𝑃
𝜕𝑥 𝜕𝑋 𝑑𝑥 𝜕𝑋
𝜕𝑧 𝜕𝑧 𝑑𝑌 𝜕𝑧
𝑞= = = (1 − 𝑛)𝑦 −𝑛 = (1 − 𝑛)𝑦 −𝑛 𝑄
𝜕𝑦 𝜕𝑌 𝑑𝑦 𝜕𝑌
𝜕𝑧 𝜕𝑧
Where 𝑃 = and 𝑄 =
𝜕𝑋 𝜕𝑌
Hence the equation reduces to 𝑭((𝟏 − 𝒎)𝑷, (𝟏 − 𝒏)𝑸) = 𝟎, which is of the form
𝒇(𝑷, 𝑸) = 𝟎
Case2. 𝑭(𝒙𝒎 𝒑, 𝒚𝒎 𝒒, 𝒛) = 𝟎, ∀𝒎, 𝒏 𝒂𝒓𝒆 𝒄𝒐𝒏𝒔𝒕𝒂𝒏𝒕𝒔
This type of PDE can be transform into standard form .
By putting 𝑥 1−𝑚 = 𝑋 and 𝑦 1−𝑛 = 𝑌,where 𝑚 ≠ 1 and 𝑛 ≠ 1, we get 𝒇 (𝑷, 𝑸, 𝒛) = 𝟎
Case3. For 1 st and 2 nd cases ∀𝒎 = 𝒏 = 𝟏
If = 1 , put and 𝑋 = ln 𝑥 and 𝑛 = 1 , put and 𝑌 = ln 𝑦, we get
𝜕𝑧 𝜕𝑧 𝑑𝑋 1 𝜕𝑧 1
𝑝= = = = 𝑃 → 𝑝𝑥 = 𝑃
𝜕𝑥 𝜕𝑋 𝑑𝑥 𝑥 𝜕𝑋 𝑥
𝜕𝑧 𝜕𝑧 𝑑𝑌 1 𝜕𝑧 1
𝑞= = = = 𝑄 → 𝑞𝑦 = 𝑄
𝜕𝑦 𝜕𝑌 𝑑𝑦 𝑦 𝜕𝑌 𝑦
Case4. 𝑭(𝒛𝒌𝒑, 𝒛𝒌 𝒒) = 𝟎, ∀𝒌 𝒊𝒔 𝒄𝒐𝒏𝒔𝒕𝒂𝒏𝒕
This type of PDE can be transform into an equation of the 1 st type by proper substitution
𝜕𝑍 𝜕𝑧 𝑃
If 𝑘 ≠ −1,put 𝑍 = 𝑧 𝑘+1 , then 𝑃 = = (𝑘 + 1)𝑧 𝑘 = (𝑘 + 1) 𝑧 𝑘 𝑝 → = 𝑧 𝑘 𝑝 and
𝜕𝑥 𝜕𝑥 𝑘+1
𝜕𝑍 𝜕𝑧 𝑄
𝑄= = (𝑘 + 1) 𝑧 𝑘 = (𝑘 + 1) 𝑧 𝑘 𝑞 → = 𝑧𝑘 𝑞
𝜕𝑦 𝜕𝑦 𝑘+1
𝟏 𝟏
Hence the equation reduces to 𝑭 ( 𝑷, 𝑸) = 𝟎, which is of the form 𝒇(𝑷, 𝑸) = 𝟎
𝒌+𝟏 𝒌+𝟏
𝜕𝑍 1 𝜕𝑧 1 𝜕𝑍 1 𝜕𝑧 1
If 𝑘 = −1,put 𝑍 = ln 𝑧, then 𝑃 = = = 𝑝 and 𝑄 = = = 𝑞 Hence the
𝜕𝑥 𝑧 𝜕𝑥 𝑧 𝜕𝑦 𝑧 𝜕𝑦 𝑧
equation reduces to 𝑭(𝑷, 𝑸) = 𝟎, which is of the form 𝒇(𝑷, 𝑸) = 𝟎

Case5. 𝑭(𝒙𝒎𝒛𝒌𝒑, 𝒚𝒏 𝒛𝒌𝒒) = 𝟎, ∀𝒌 𝒊𝒔 𝒄𝒐𝒏𝒔𝒕𝒂𝒏𝒕
It may be transformed into the standard type 𝒇(𝑷, 𝑸) = 𝟎 by putting 𝑥 1−𝑚 = 𝑋 ,𝑦 1−𝑛 = 𝑌
and 𝑍 = 𝑧 𝑘+1, if 𝑚 ≠ 1, 𝑛 ≠ 1 and 𝑘 ≠ 1 or by putting 𝑋 = ln 𝑥 , 𝑌 = ln 𝑦 , 𝑍 = ln 𝑧 if
𝑚 = 1, 𝑛 = 1 and 𝑘 = −1
a) 𝑥 2 𝑝 2 + 𝑦 2 𝑞 2 = 𝑧 2
b) 𝑧 2 (𝑝 2 + 𝑞 2 ) = 𝑥 2 + 𝑦 2
Answers:
a) 𝑥 2 𝑝 2 + 𝑦 2 𝑞 2 = 𝑧 2
This equation is not in any of the four standard types. But this is reducible to one of the
standard types by proper substitution of the variables.
𝑥𝑝 2 𝑦𝑞 2
𝑥 2𝑝2 + 𝑦2𝑞 2 = 𝑧2 ↔ ( ) + ( ) = 1
𝑧 𝑧
This is of the form explained in case 5, where 𝑚 = 1, 𝑛 = 1 and 𝑘 = −1 .Then put = ln 𝑥
, 𝑌 = ln 𝑦 , 𝑍 = ln 𝑧
𝜕𝑍 𝜕𝑍 𝜕𝑧 𝜕𝑥 1 𝜕𝑍 𝑞𝑦
Then 𝑃 = = ∙ ∙ = ∙ 𝑝 ∙ 𝑥 and 𝑄 = =
𝜕𝑋 𝜕𝑧 𝜕𝑥 𝜕𝑋 𝑧 𝜕𝑌 𝑧
The equation reduces to 𝑃2 + 𝑄2 =1

The complete solution is 𝑍 = 𝑎𝑋 + 𝑏𝑌 + 𝑐, where 𝑎 2 + 𝑏 2 = 1 → 𝑏 = √1 − 𝑎 2
2 ln 𝑦+𝑐}
This means that ln 𝑧 = 𝑎 ln 𝑥 + √1 − 𝑎 2 ln 𝑦 + 𝑐 → 𝑧 = 𝑒 {𝑎 ln 𝑥+√1−𝑎
b) 𝑧 2 (𝑝 2 + 𝑞 2 ) = 𝑥 2 + 𝑦 2 ↔ (𝑧𝑝) 2 + (𝑧𝑞) 2 = 𝑥 2 + 𝑦 2
𝜕𝑍 𝜕𝑍 𝜕𝑧 𝜕𝑥 𝜕𝑍 𝜕𝑍 𝜕𝑧 𝜕𝑦
Put 𝑍 = 𝑧 2 , then 𝑃 = = ∙ ∙ = 2𝑧 ∙ 𝑝 and 𝑄 = = ∙ ∙ = 2𝑧 ∙ 𝑞
𝜕𝑥 𝜕𝑧 𝜕𝑥 𝜕𝑥 𝜕𝑦 𝜕𝑧 𝜕𝑦 𝜕𝑦
The equation reduces to 𝑃 2 + 𝑄 2 = 4(𝑥 2 + 𝑦 2 )

𝑃 = √4𝑎 + 4𝑥 2
𝑃 2 − 4𝑥 2 = 4𝑦 2 − 𝑄 2 = 4𝑎 → {
𝑄 = √4𝑦 2 − 4𝑎
𝑑𝑍 = 𝑃𝑑𝑥 + 𝑄𝑑𝑦 = 2√𝑎 + 𝑥 2 𝑑𝑥 + 2√ 𝑦 2 − 𝑎𝑑𝑥
𝑍 = ∫ 𝑑𝑍 = ∫ 𝑃𝑑𝑥 + ∫ 𝑄𝑑𝑦 = ∫ 2√𝑎 + 𝑥 2 𝑑𝑥 + ∫ 2√ 𝑦 2 − 𝑎𝑑𝑥

𝑥 𝑎 𝑥 𝑦 𝑎 𝑦
𝑍 = 2 [ √𝑎 + 𝑥 2 + sinh −1 + √ 𝑦 2 − 𝑎 − cosh−1 ] + 𝑏
2 2 √𝑎 2 2 √𝑎
𝑥 𝑦
𝑍 = 𝑥 √𝑎 + 𝑥 2 + 𝑎 sinh −1 + 𝑦 √𝑦 2 − 𝑎 − 𝑎 cosh −1 +𝑏
√𝑎 √𝑎
EXERCISES 2.1
1. Solve the following equations:

a) 𝑝 2 + 𝑞 2 = 𝑛𝑝𝑞 b) 𝑧 = 𝑝𝑥 + 𝑞𝑦 + √1 + 𝑝 2 + 𝑞 2 c) 𝑧 = 𝑝𝑥 + 𝑞𝑦 + 𝑝 2 𝑞 2
d) 𝑧 = 𝑝𝑥 + 𝑞𝑦 + 𝑝 2 − 𝑞 2 e) 𝑝 = 2𝑞𝑥 f) 9(𝑝 2 𝑧 + 𝑞 2 ) = 4 g) 𝑧 = 𝑝 2 + 𝑞 2 h) 𝑝 2 +
𝑞2 = 𝑥 + 𝑦 i) 𝑝 − 𝑥 2 = 𝑞 + 𝑦 2 j) 2𝑥 4 𝑝 2 − 𝑦𝑧𝑞 − 3𝑧 2 = 0
2. Find the general solution of the following PDEs
a) 𝑝𝑥 2 + 𝑞𝑦 2 = (𝑥 + 𝑦)𝑧 b) 𝑝 √𝑥 + 𝑞√𝑦 = √𝑧 c) 𝑝𝑥 2 − 𝑞𝑦 2 = 𝑧 2 d) 𝑝𝑥 +
𝑞𝑦 = 𝑛𝑧
3. Form the PDE by eliminating the arbitrary constants: a) 𝑧 = 𝑎𝑥 𝑛 + 𝑏𝑦 𝑛 b) 𝑧 =

𝑥2 𝑎
𝑎(𝑥 + ln 𝑦) − − 𝑏 c) 𝑧 = 𝑎𝑥 + 𝑏𝑦 + − 𝑏
2 𝑏
4. Obtain PDEs by eliminating the arbitrary functions:
a) 𝑥𝑦𝑧 = 𝑓(𝑥 + 𝑦 + 𝑧) b) 𝑧 = 𝑓(2𝑥 + 𝑦) + g(3x − y) c) 𝑧 = 𝑒 𝑦 𝑓(𝑥 + 𝑦)
𝜕2 𝑢 𝜕2𝑢 1
5.Show that the PDE − = 2𝑢⁄𝑥 is satisfied by 𝑢 = 𝑓 (𝑦 − 𝑥) + 𝑓 ′ (𝑦 − 𝑥)
𝜕𝑥2 𝜕𝑦2 𝑥
where 𝑓 is an arbitrary function.
𝜕2𝑧 𝜕2 𝑧
6. If 𝑧 = 𝑓 (𝑥 + 𝑖𝑦) + 𝐹(𝑥 − 𝑖𝑦, prove that + = 0, where 𝑓 𝑎𝑛𝑑 𝐹 are
𝜕𝑥2 𝜕𝑦2
arbitrary function.
𝜕2 𝑢 1 𝜕𝑢 𝜕2𝑢
7. If 𝑢 = 𝑓( 𝑥 2 + 𝑦) + 𝐹 (𝑥 2 − 𝑦) , show that − ∙ − 4𝑥 2 =0
𝜕𝑥2 𝑥 𝜕𝑥 𝜕𝑦2
2.4.LINEAR HOMOGENEOUS PARTIAL DIFFERENTIAL EQUATIONS

OF SECOND ORDER WITH CONSTANT COEFFICIENTS.

Homogeneous Equations
  i i i
Let Dx= , D y = ,D x = i , D y = i ,
i
x y x y
We are looking for solving equations of the type
 2u  2u  2u
+ k + k =0 (2.4.1)
x 2 xy y 2
1 2
where k 1 and k 2 are constants. Then (2.4.1) can be written as
(D 2
x )
+ k 1D xD y + k 2D 2y u = 0
or F(Dx, Dy) u=0 (2.4.2)
The auxiliary equation of (24.1.) is
D 2x + k 1D x D y + k 2D 2y = 0
Let the roots of this equation be m 1 and m2, that is, Dx=m1Dy, Dx=m 2Dy
(Dx-m1Dy) (Dx-m2Dy)u=0- (2.4.3)
This implies (Dx-m2Dy) u=0 or p-m2q=0
dx dy du
The auxiliary system of equations for p-m2q=0 is of the type = =
1 - m2 0
This gives us -m2dx=dy or y+m2x=c and u=c 1= (c)
Thus, u=(y+m2x) is a solution of (2.4.1). From (2.4.2) we also have (Dx-m1Dy) u=0
or p-m1q=0
dx dy du
Its auxiliary system of equations is = =
1 - m1 0
This gives –m1dx=dy or m 1x+y=c1 and u=c 2 and so u=(y+m1x) is a solution of (2.4.1).
Therefore u= (y+m2x) +  (y+m1x) is the complete solution of (2.4.1).

If the roots are equal (m 1 = m2) then Equation 2.4.1 is equivalent to
(Dx-m1Dy)2 u = 0
Putting (Dx-m1Dy) u = z, we get (Dx-m1Dy) z=0 which gives z= (y+m1x)
Substituting z in (Dx-m1Dy) u=z gives (Dx-m1Dy) u =  (y+m1x) or p-m1q =  (y+m1x)
dx dy du
Its auxiliary system of equations is = = which gives y+m 1x = a
1 - m1 ( y + m1x )
and u +  (a) x+b
The complete solution in this case is u= x  (y+m1x) +  (y+m1x)
Example 2.4.1. Find the solution of the equation
 2u  2u
- =0
x 2 y 2
Solution: In the terminology introduced above this equation can be written as
(Dx2-Dy2) u = 0. or (Dx-Dy) (Dx+Dy)u=0
Its auxiliary equation is (Dx-Dy)(Dx+Dy)=0, that is, Dx - Dy =0 or Dx= -Dy. that
is,
p=q or p = - q, p-q = 0 or p+q=0
dx dy du
Auxiliary system of equations for p-q=0 is = =
1 -1 0
dx dy du
This gives x+y = c. The auxiliary system for p+q = 0 is = =
1 1 0
This gives x-y =c1 .The complete solution is
u=(x+y)+  (x-y) where  and  are arbitrary functions.
Non-homogeneous Partial Differential Equations of the second-order
Equations of the type

 2u  2u  2u
+ k + k =f(x,y) (2.4.4)
x 2 xy y 2
1 2
are called non-homogeneous partial differential equations of the second-order with
constant coefficients. Let u c be the general solution of
 2u  2u  2u
+ k + k =0 (2.4.5)
x 2 xy y 2
1 2
and let u p be a particular solution of (2.4.4)
Then u c+u p is the solution of (2.4.4).
We have discussed the method for finding the general solution (complementary function)
of (2.4.4).The method of undetermined coefficients for ordinary differential equations is
applicable in finding particular solution of partial differential equations of the type (2.4.3).
Let f(Dx,Dy) be a linear partial differential operator with constant coefficients, then the
1
corresponding inverse operator is defined as
f (D x ,D y )
 1 
The following results hold f(Dx,Dy)  ( x, y ) = ( x, y ) (2.4.6)
 f (D x ,D y ) 
1 1  1 
( x, y ) =  ( x, y ) (2.4.7)
f1(D x ,D y )f2 (D x ,D y ) f1(D x ,D y )  f2 D x ,D y ) 
1  1 
=  ( x, y ) (2.4.8)
f2 (D x ,D y )  f1(D x ,D y ) 
1
1( x, y) + 2 ( x, y) =  1 1( x, y)
(D x ,D y ) f (D x ,D y )
(2.4.9)
1
+  2 ( x, y )
f (D x ,D y )

1 1
e ax+by = = e ax+by , f (a,b)  0 (2.4.10)
f (D x ,D y ) f (a,b)
f(Dx,Dy)  (x,y) eax+by=eax+by f(Dx+a, Dy+b) (x,y)
1 1
( x, y )e ax+by = e ax+by ( x, y ) (2.4.11)
f (D x ,D y ) f (D x + a,D y + b)
1 1
= e ax e by ( x, y ) = e by e ax ( x, y )
f (D x + a,D y ) f (D x ,D y + b)
(2.4.12)
f (D 2x , D 2y ) cos (ax+by) = f(-a2,-b 2) cos (ax+by)
1 1
2 2
cos (ax + by ) = cos (ax + by )
f (D , D y )
x
2
f (-a , - b 2 )
(2.4.13)
f (D 2x , D 2y ) sin (ax+by) = f(-a2,-b 2) sin (ax+by)
1 1
2 2
sin (ax + by ) = sin (ax + by ) (2.4.14)
f (D , D y )
x
2
f (-a , - b 2 )
1
When (x,y) is any function of x and y, we resolve into partial fractions treating
f (D x , D y )
f(Dx, Dy) as a function of D x alone and operate each partial fraction on (x,y),
remembering that
1
(x,y) =  ( x, c − mx )dx
D x − mD y
where c is replaced by y+mx after integration.
Example 2.4.2. Find the particular solution of the following partial differential equations

 2u  2u u
(i) 3 + 4 - = e x −3 y
x 2 xy y
 2u u
(ii) 3 - = e x sin( x + y )
x 2
y
Solution: (i) The equation can be written as
(3D 2x + 4 D xD y - D y ) u = ex-3y
1
up = ex-3y
3D + 4 D x D y - D y
2
x
1
= ex-3y by (2.4.9)
3 + 4(-3) - (-3)
1 x-3y
=- e
6
(ii) The equation can be written as
(3D2x-Dy)u=ex sin (x+y)
1
up = 2
ex sin (x+y)
3D - D y
x
1
= ex sin (x+y)
(3(D x + 1) 2 - D y )
1
= ex sin(x+y)
(3D + 6 D x + 3 − D y )
2
x
1
= ex sin(x+y)
(3(-1) + 6D x + 3 - D y
 1  (6D x + D y )
= ex   sin (x+y)
 = ex sin(x+y)
 6Dx -Dy  36D 2x - D 2 y

7 cos ( x + y )
= ex
- 35
1 x
=- e cos(x+y).
5
Example 2.4.3. Solve the partial differential equation
 2u 2  2u
-c = e-xsin t
t 2
x 2
Solution: The equation can be written as
(D 2t -c2Dx2) u = e-xsin t
The particular solution is
1
u p= 2
2 2
e − x sin t
D - c Dx
t
−x 1 1
=e 2
sin t = e − x sin t
D - (c(D x - 1)
t - 1- c 2
1
=- e − x sin t
c +1
2
By proceeding on the lines of the solution of Example 2.4.1 we get
u c =  (x-ct)+  (x+ct)
1
u(x,t)=  (x-ct)+  (x+ct) - e − x sin t
c +1
2
The solution u c is known as the d' Alembert's solution of the wave equation
 2u 2  2u
-c =0.
t 2 x 2
2.5. CLASSIFICATION OF SECOND ORDER LINEAR PARTIAL

DIFFERENTIAL EQUATIONS

A partial differential equation is said to be linear if the unknown function u(.,.) and all its
partial derivatives appear in an algebraically linear form, 'that is, of the first degree. For
example the equation
A u xx+2Bu xy+Cu yy+Du x+Eu y+Fu = f (2.5.1)
where the coefficients A,B,C,D.E and F and the function f are functions of x and y, is a
second-order linear partial differential equation in the unknown u(x,y).
Left hand side of (2.5.1) can be abbreviated by Lu, where u has continuous partial
derivatives of upto second order.
If u is a function having continuous partial derivatives of approp riate order, say n then a
partial derivative can be written as Lu=f where L is a differential operator, that is, L carries
u to the sum of scalar multiplications of its partial derivatives of different order. An
operator L is called linear differential operator if L ( u+  v)=  Lu+  v where  and  are
scalars and u and v are any functions with continuous partial derivatives of appropriate
order. A partial differential equation is called homogeneous if Lu=0, that is, f on the right
hand side of a partial differential equation is zero, say f=0 in (2.5.1). The partial differential
equation is called non-homogeneous if f0.
Examples 2.1:
a) (x+2y) u x +x 2u y = sin (x 2+y 2) is a non-homogeneous partial differential equation of
first-order.
b) (x+2y) u x+x 2u y=0 is a homogeneous linear partial differential equation of first-
order
c) xu xx +yu xy+u yy=0 is a homogeneous linear partial differential equation of second-
order.

d) xu xx+y u xy+u yy=sin x is a non-homogeneous linear partial differential equation of
second-order.
For f=0 in Equation (2.5.1), the most general form of a second-order
homogeneous equation A uxx + 2B uxy+C uyy + D ux+E uy +Fu=0 (2.5.2)
For a correspondence of this equation with an algebraic quadratic equation, we
replace u x by , u y by , u xx by  2, u xy by , and u yy by 2. The left hand side of Equation
(2.2) reduces to a second degree polynomial in  and :
P( ,)=A 2+2B+C 2+D+E+F=0 (2.5.3)
It is known from analytical geometry and algebra that the polynomial equation P
(,)=0 represents a hyperbola, parabola, or ellipse according as its discriminant. B 2-AC
is positive, zero, or negative. Thus, the partial differential equation (2.5.3) is classified as
hyperbolic, parabolic, or elliptic according as the quantity
B2-AC>0, B2-AC=0, or B2-AC<0.
The equation
A u2x+2B uxy + C u2y = 0 (2.5.4)
is called the characteristic equation of the partial differential equation (2.5.3). Solutions
of (2.5.4) are called the characteristics
Example 2.2: Examine whether the following partial differential equations are hyperbolic,
parabolic, or elliptic.
 2u  2u  2u  2u  2u  2 u
2
(i) +x 2 +4=0 (ii) +y 2 =0 (iii) y - =0
x 2 y x 2 y x 2 y 2
(iv) u xx + x 2 u yy = 0 (v) x u xx + 2x u xy + y u yy = 0
Solutions: (i) A = 1, C = x, B = 0

B2-AC = 0 –x <0 for x>0
Thus the equation is elliptic if x > 0, is hyperbolic if x < 0 and it is parabolic if x = 0.
(ii) A=1, B=0, C=y
B2-AC=0-y >0 if y<0 and so the equation is hyperbolic if y<0. It is parabolic if y=0
and it is elliptic if y>0.
(iii) A=y 2, B=0, C = -1.
B2-AC=y 2>0 for all y. Therefore the equation is hyperbolic.
(iv) A=1, B=0, C=x 2
B2-AC=0-x 2<0 for all x. The equation is elliptic
(v) A=x, B=x, C=y
B2-AC=x 2-xy=x(x-y)>0 for x>0 x>y
In this case the equation is hyperbolic B 2-AC=o if x=y. For this the equation is parabolic.
B2-AC <0 if x>y and x<0 or if x<y and x>0
In this case the equation is elliptic.
Exercises2.2
Write down the order and degree of partial differential equations in problems 1-5.
u u
1. + = u2
x y
 2u u
2. =
x 2
t
3
 u  u
3.   + =0
 x  y
u u
4. + 100 =0
t x

2 3
 u   u 
5.   +   = 0
 x   y 
6. Verify that the functions u(x,y)=x 2-y2 and u(x,y) = e x sin y are solutions
of the equation
 2u  2u
+ =0
x 2 y
7. Let u=f(x,y), where f is an arbitrary differentiable function. Show that u
satisfies the equation
x u x –y u y = 0
Examine whether cos (xy), e xy and (xy)3 are solutions of this partial differential equation.
Classify the partial differential equations as hyperbolic, parabolic, or elliptic.
8. 4 u xx-7 u xy + 3 u yy= 0
9. 4 u xx-8 u xy + 4 u yy= 0
10. a2 u xx+2a u xy +u yy = 0, a0
 2u  2u  2u
11. 4 2 - 12 +9 2 = 0
t xt x
 2u  2u  2u
12. 8 -2 -3 2 = 0
x 2 xy y
For what values of x and y are the following partial differential equations
hyperbolic, parabolic, or elliptic?
13. u xx+2xu xy+(1-y 2) u yy=0
14. (1+y 2) u xx+(1+x 2) u yy=0
15. u xx + x 2 u yy = 0
16. u xx -2 sin x u xy – cos2x u y = 0

17. Find the general solution of 2 u x-3 u y = cos x
18. Solve u x+exu y=y, u(0,y) = 1+y
Find the complete solutions of the equations in problem 19-25
19. p=(u +qy)2
20. 2(u+xp+yq)=yp 2
21. u 2=pqxy
22. xp+3yq=2(u-x 2q2)
23. pq=1
24. p 2y(1+x 2)=qx 2
25. u=p 2-q 2
26. p 2q 2+x 2y 2=x 2q 2(x 2-y 2)
Solve partial differential equations of problems 27to 31.
 2u u
27. + 12 +2=0
x 2
x
 2u  2u  2u
28. 4 2 - 16 2 + 15 2 = 0
x y y
 2u  2u u
29. 3 + 4 - =0
x 2 xy y
 2u u
30. 3 - = sin (ax+by)
x 2 y
 2 u u u  2u
31. 3 2 -2 - 5 2 = 3x+y+ex-y
x x y y
2.6.SOLUTIONS OF ONE–DIMENSIONAL WAVE EQUATION, ONE-

DIMENSIONAL HEAT EQUATION

2.6.1. The Heat Equation
For a material of constant density ρ, constant specific heat μ and constant thermal
conductivity K, the partial differential equation governing the temperature u at any location
(x, y, z) and any time t is
u K
= k  2u , where k =
t 
Example 2.6.1
Heat is conducted along a thin homogeneous bar extending from x = 0 to x = L. There is

no heat loss from the sides of the bar. The two ends of the bar are maintained at
temperatures T1 (at x = 0) and T2 (at x = L). The initial temperature throughout the bar at
the cross-section x is f (x).
Find the temperature at any point in the bar at any subsequent time.
The partial differential equation governing the temperature u(x, t) in the bar is
u  2u
= k 2 [Parabolic]
t x
together with the boundary conditions

u(0, t) = T1 and u(L, t) = T2
and the initial condition
u(x, 0) = f (x)
[Note that if an end of the bar is insulated, instead of being maintained at a constant
u u
temperature, then the boundary condition changes to ( 0, t ) = 0 or ( L, t ) = 0 .]
t t
Attempt a solution by the method of separation of variables.
u(x, t) = X(x) T(t)
T X 
 X T  = k X  T  = k = c
T X
Again, when a function of t only equals a function of x only, both functions must equal the
same absolute constant. Unfortunately, the two boundary conditions cannot both be
satisfied unless T1 = T2 = 0. Therefore we need to treat this more general case as a
perturbation of the simpler (T1 = T2 = 0) case.
Let u(x, t) = v(x, t) + g(x)

Substitute this into the PDE:
 2 v   2v 
t
( v ( ) ( ))
x , t + g x = k
x 2 ( (
v x , t ) ( ))
+ g x 
t
= k  2 + g  ( x ) 
 x 
This is the standard heat PDE for v if we choose g such that g"(x) = 0.
g(x) must therefore be a linear function of x.
We want the perturbation function g(x) to be such that

u(0, t) = T1 , u(L, t) = T2
and
v(0, t) = v(L, t) = 0
Therefore g(x) must be the linear function for which g(0) = T1 and g(L) = T2 .
It follows that
 T −T 
g ( x ) =  2 1  x + T1
 L 
and we now have the simpler problem
v  2v
= k 2
t x
together with the boundary conditions
v(0, t) = v(L, t) = 0
and the initial condition
v(x, 0) = f (x) – g(x)
Now try separation of variables on v(x, t) :

v(x, t) = X(x) T(t)
1 T X 
 X T  = k X  T  = = c
k T X
But v(0, t) = v(L, t) = 0  X(0) = X(L) = 0
This requires c to be a negative constant, say –λ2.

The solution is very similar to that for the wave equation on a finite string with fixed ends
n
(section 4.3). The eigenvalues are  = and the corresponding eigenfunctions are any
L
non-zero constant multiples of
 n x 
X n ( x ) = sin  
 L 
Example 2.6.1 (continued)

The ODE for T(t) becomes
 n 
2
T +   kT = 0
 L 
whose general solution is
Tn ( t ) = cn e−n  kt / L
2 2 2
Therefore
 n x   n 2 2 kt 
vn ( x, t ) = X n ( x ) Tn ( t ) = cn sin   exp − 
 L   L2 
n x 
If the initial temperature distribution f (x) – g(x) is a simple multiple of sin   for
 L 
 n x   n 2 2 kt 
some integer n, then the solution for v is just v ( x, t ) = cn sin   exp − .
 L   L2 
Otherwise, we must attempt a superposition of solutions.


 n x   n 2 2 kt 
v ( x, t ) =  cn sin   exp  − 
n =1  L   L2 

 n x 
such that v ( x, 0 ) =  cn sin 
n =1 L 
 = f ( x) − g ( x) .
( f ( z ) − g ( z ) ) sin  nL z  dz
L

2
The Fourier sine series coefficients are cn =
L 0  
so that the complete solution for v(x, t) is
2     n z    n x   n2 2 kt 
L

 T2 − T1
v ( x, t ) = 
L n = 1 


f ( z ) − z − T1 sin   dz 
  L    L 
sin   exp −
L2 

0 L 
and the complete solution for u(x, t) is
 T −T 
u ( x, t ) = v ( x, t ) +  2 1  x + T1
 L 

Note how this solution can be partitioned into a transient part v(x, t) (which decays to zero
as t increases) and a steady-state part g(x) which is the limiting value that the temperature
distribution approaches.
As a specific example, let k = 9, T1 = 100, T2 = 200, L = 2 and

f (x) = 145x2 – 240x + 100 , (for which f (0) = 100, f (2) = 200 and f (x) > 0 x).
200 − 100
Then g ( x ) = x + 100 = 50 x + 100
2
The Fourier sine series coefficients are
 n z 

2
cn =
0
((145z 2
)
− 240 z + 100 ) − ( 50 z + 100 ) sin 
 2 
 dz
 n z 

2
 cn = 145 (z 2
− 2 z ) sin 
 2 
 dz
0

z =2
 16   n z  

(
 − z 2 + 2 z
2
+)  cos  
n ( n )   2  
3
 cn = 145  
 8 ( z − 1)  n z  
 + 2 sin  
 ( n )  2   z =0
z =2
 2 16   n z  8 ( z − 1)  n z  
 cn = 145  z ( 2 − z ) +  cos   + 2 sin  
 n ( n )   2  ( n )
3
 2  
z =0
 cn =
2320
( n )
3 (( −1)n −1)
The complete solution is
2320   1 − ( −1)   n x 
n
 9n2 2 t 
u ( x, t ) = 50 x + 100 −   
 3 n = 1  n3   2 
sin exp − 
 4 
Some snapshots of the temperature distribution (from the tenth partial sum) from the Maple
file at "www.engr.mun.ca/~ggeorge/5432/demos/ex451.mws" are shown on the
next page.

The steady state distribution is nearly attained in much less than a second!
2.6.2. Wave equation

 2u
The wave equation: = c 2  2u
t 2
 2u 2  u
2
or its one-dimensional special case 2 = c [which is hyperbolic everywhere]
t  x2
(where u is the displacement and c is the speed of the wave);
u
The heat (or diffusion) equation:  = K  2u +  K  u
t
a one-dimensional special case of which is
u K  2u
= [which is parabolic everywhere]
t   x 2
(where u is the temperature, μ is the specific heat of the medium, ρ is the density and K is
the thermal conductivity);
The potential (or Laplace’s) equation:  2u = 0
 2u  2u
a special case of which is + = 0 [which is elliptic everywhere]
 x2  y2
The complete solution of a PDE requires additional information, in the form of initial
conditions (values of the dependent variable and its first partial derivatives at t = 0),
boundary conditions (values of the dependent variable on the boundary of the domain) or
some combination of these condition

d’Alembert Solution
Example 2.6.2
Show that
f ( x + ct ) + f ( x − ct )
y ( x, t ) =
2
is a solution to the wave equation
2 y 1 2 y
− = 0
 x2 c 2 t 2

with initial conditions y(x, 0) = f (x) and y ( x, t ) = 0
t t =0
for any twice differentiable function f (x).
f (r ) + f (s)
Let r = x + ct and s = x – ct , then y ( r , s ) = and
2
y  y r  y s
x
=
r  x
+
s  x
=
1
2
( ( f  ( r ) + 0 ) 1 + ( 0 + f  ( s ) ) 1) ,
2 y  y     y  r    y  s
= ( f  ( r ) 1 + f  ( s )  1) ,
1
=   =   +  
x 2
x  x  r   x   x s   x   x 2
y  y r  y s
t
=
 r t
+
 s t
=
1
2
( ( f  ( r ) + 0 )  c + ( 0 + f  ( s ) )  ( −c ) ) ,
2 y    y  r    y  s
= ( c f  ( r )  c − c f  ( s )  ( −c ) ) ,
1
=   +  
t 2
 r  t  t  s  t  t 2
2 y 1 2 y
2 (
− 2 2 = ( f  ( r ) + f  ( s ) ) − c 2 f  ( r ) + c 2 f  ( s ) ) = 0 ,
1 1

x 2
c t 2 2c
f ( x + ct ) + f ( x − ct )
Therefore y ( x, t ) = is a solution to the wave equation for all twice
2
differentiable functions f (x). This is part of the d’Alembert solution.
Mathematics for Engineers III Prepared by FELIX NDAYAMBAJE Page 63

This d’Alembert solution satisfies the initial displacement condition:

f ( x + 0) + f ( x − 0)
y ( x, 0 ) = = f ( x)
2
 c f  ( x + ct ) − c f  ( x − ct ) c f ( x) − c f ( x)
Also y ( x, t ) = = = 0
t t =0 2 t =0 2
The d’Alembert solution therefore satisfies both initial conditions.
A more general d’Alembert solution to the wave equation for an infinitely long string is
f ( x + ct ) + f ( x − ct ) x +ct

1
y ( x, t ) = + g ( u ) du
2 2c x −ct
This satisfies the wave equation

2 y 2  y
2
= c for −   x   and t  0
t 2  x2
and
Initial configuration of string: y(x, 0) = f (x) for x 
and
y
Initial speed of string: = g ( x) for x 
t x, 0
( )
for any twice differentiable functions f (x) and g(x).
Physically, this represents two identical waves, moving with speed c in opposite directions along
the string.

x + ct

1
Proof that y ( x, t ) = g ( u ) du satisfies both initial conditions:
2c x −ct
1 x +ct 1 x
y ( x, t ) =

2c x −ct
g ( u ) du  y ( x, 0 ) =
2c x 
g ( u ) du = 0
Using a Leibnitz differentiation of the integral:

x +ct
y 1     
t
=  g ( x + ct )  ( x + ct ) − g ( x − ct )  ( x − ct ) +
2c  t t x −ct t 
g ( u ) du 

g ( x + ct ) + g ( x − ct )
1
=
2c
( c g ( x + ct ) + c g ( x − ct ) + 0 ) =
2
y g ( x + 0) + g ( x − 0)
 = = g ( x)
t t = 0 2
Example 2.6.3
An elastic string of infinite length is displaced into the form y = cos  x/2 on [–1, 1] only (and
y = 0 elsewhere) and is released from rest. Find the displacement y(x, t) at all locations on the
string x  and at all subsequent times (t > 0).
For this solution to the wave equation we have initial conditions

 x 
 cos   ( −1  x  1)
y ( x, 0 ) = f ( x ) =   2 
 0 ( otherwise )

and
y
( x, 0 ) = g ( x ) = 0
t
The d’Alembert solution is

f ( x + ct ) + f ( x − ct ) x +ct f ( x + ct ) + f ( x − ct )

1
y ( x, t ) = + g ( u ) du = + 0
2 2c x −ct 2
   ( x + ct ) 
 cos   ( −1 − ct  x  1 − ct )
where f ( x + ct ) =   2 

 0 ( otherwise )

   ( x − ct ) 
 cos   ( −1 + ct  x  1 + ct )
and f ( x − ct ) =   2 

 0 ( otherwise )
We therefore obtain two waves, each of the form of a single half -period of a cosine function,
moving apart from a superposed state at x = 0 at speed c in opposite directions.
See the web page "www.engr.mun.ca/~ggeorge/5432/demos/ex422.html " for an
animation of this solution.
Example 2.6.3.(continued)
Some snapshots of the solution are shown here

A more general case of a d’Alembert solution arises for the homogeneous PDE with constant
coefficients
 2u  2u  2u
A + B + C = 0
 x2 x  y  y2
The characteristic (or auxiliary) equation for this PDE is

A2 + B  + C = 0
This leads to the complementary function (which is also the general solution for this homogeneous
PDE)
u ( x, y ) = f1 ( y + 1 x ) + f 2 ( y +  2 x ) ,
where
−B − D −B + D
1 = and  2 =
2A 2A
and D = B 2 – 4AC
and f1, f2 are arbitrary twice-differentiable functions of their arguments.
λ 1 and λ 2 are the roots (or eigenvalues) of the characteristic equation.
In the event of equal roots, the solution changes to

u ( x, y ) = f1 ( y +  x ) + h ( x, y ) f 2 ( y +  x )
where h(x, y) is any non-trivial linear function of x and/or y (except y + λx).
The wave equation is a special case with y = t, A = 1, B = 0, C = –1/c2 and λ = ± 1/c.

Example 2.6.4
 2u  2u  2u
− 3 + 2 2 = 0
 x2 x  y y
u(x, 0) = −x2
u y(x, 0) = 0
(a) Classify the partial differential equation.

(b) Find the value of u at (x, y) = (0, 1).
(a) Compare this PDE to the standard form
 2u  2u  2u
A + B + C = 0
 x2 x  y  y2
A = 1, B = –3 , C = 2  D = 9 – 42 = 1 > 0
Therefore the PDE is hyperbolic everywhere.
+3  1
(b)  = = 1 or 2
2
The complementary function (and general solution) is
u(x, y) = f (y + x) + g(y + 2x)
 u y(x, y) = f '(y + x) + g'(y + 2x)
Initial conditions:
u(x, 0) = f (x) + g(2x) = –x2 (1)
and
u y(x, 0) = f '(x) + g'(2x) = 0 (2)
d
(1) = f  ( x ) + 2 g  ( 2 x ) = − 2 x (3)
dx
(3) – (2)  g'(2x) = –2x  g'(x) = –x
 g ( x ) = − 12 x 2 + k  g ( y + 2 x ) = − 12 ( y + 2 x ) + k
2

Also (1)  f (x) = –x2 – g(2x) = –x2 + ½(2x)2 – k = x2 – k
 f (y + x) = (y + x)2 – k
Therefore u(x, y) = f (y + x) + g(y + 2x)

= (y + x)2 – k – (y + 2x)2 / 2 + k
=
1
2
( )
2 y 2 + 4 xy + 2 x 2 − y 2 − 4 xy − 4 x 2 =(1 2
2
y − 2x2 )
The complete solution is therefore u ( x, y ) =

1 2
2
(
y − 2x2 )
 u ( 0,1) =
2
(
1 2 2
1 −0 =)1
2
[It is easy (though tedious) to confirm that u ( x, y ) =

1 2
2
( )
y − 2 x 2 satisfies the partial differential
 2u  2u  2u
equation − 3 + 2 = 0 together with both initial conditions u(x, 0) = −x2 and
 x2 x  y  y2
u y(x, 0) = 0.]
[Also note that the arbitrary constants of integration for f and g cancelled each other out. This
cancellation happens generally for this method of d’Alembert solution.]

Example 2.6.5
Find the complete solution to

 2u  2u  2u
6 2 −5 + = 14 ,
x x  y  y2
u(x, 0) = 2x + 1 ,
u y(x, 0) = 4 − 6x .
This PDE is non-homogeneous.
For the particular solution, we require a function such that the combination of second partial
derivatives resolves to the constant 14. It is reasonable to try a quadratic function of x and y as
our particular solution.
Try u P = ax2 + bxy + cy 2
 uP  uP
 = 2ax + by and = bx + 2cy
x y
 2 uP  2 uP  2 uP
 = 2 a , = b and = 2c
 x2 x  y  y2
 2 uP  2 uP  2 uP
 6 − 5 + = 12a − 5b + 2c = 14
 x2 x  y  y2
We have one condition on three constants, two of which are therefore a free choice.
Choose b = 0 and c = a, then 14a = 14  c = a = 1
Therefore a particular solution is u = x2 + y2
Complementary function:
A = 6, B = –5 , C = 1  D = 25 – 46 = 1 > 0

Therefore the PDE is hyperbolic everywhere.
+5  1 1 1
 = = or
12 3 2
The complementary function is
( )
uC ( x, y ) = f y + 13 x + g y + 12 x ( )
and the general solution is
( ) (
u ( x, y ) = f y + 13 x + g y + 12 x + x 2 + y 2 )
( ) ( )
u ( x, y ) = f y + 13 x + g y + 12 x + x 2 + y 2
u

y
( ) (
= f  y + 13 x + g  y + 12 x + 2 y )
Imposing the two boundary conditions:
( ) ( )
u ( x, 0 ) = f 13 x + g 12 x + x 2 = 2 x + 1 (1)
and
( ) ( )
u y ( x, 0 ) = f  13 x + g  12 x + 0 = 4 − 6 x (2)
d
dx
1
( )
1
( )
(1) = f  13 x + g  12 x + 2 x = 2
3 2
(3)
(2) – 2(3) 
1
3
( )
f  13 x − 4 x = 4 − 6 x − 4
 ( )
f  13 x = − 6 x = − 18 13 x ( )  f  ( x ) = − 18 x
 f ( x ) = − 9x2 + k

 x2 
(1)  ( ) ( )
g 12 x = 2 x + 1 − x 2 − f 13 x = 2 x + 1 − x 2 + 9   − k
 9 
 g ( x ) = 4x + 1 − k
But
( ) ( )
u ( x, y ) = f y + 13 x + g y + 12 x + x 2 + y 2
(
 u ( x, y ) = − 9 y + 13 x ) ( )
2
+ k + 4 y + 12 x + 1 − k + x 2 + y 2
[again the arbitrary constants cancel - they can be omitted safely.]

= − 9 y 2 − 6 xy − x 2 + 4 y + 2 x + 1 + x 2 + y 2
Therefore the complete solution is
u ( x, y ) = 1 + 2 x + 4 y − 6 xy − 8 y 2
Example 2.6.6
Find the complete solution to

 2u  2u  2u
+ 2 + = 0,
 x2 x  y  y2
u = 0 on x = 0 ,
u = x2 on y = 1 .
A = 1, B = 2, C = 1  D = 4 – 41 = 0
Therefore the PDE is parabolic everywhere.
−2  0
 = = − 1 or − 1
2
The complementary function (and general solution) is

u ( x, y ) = f ( y − x ) + h ( x, y ) g ( y − x )
where h(x, y) is any convenient non-trivial linear function of (x, y) except a multiple of (y – x).
Choosing, arbitrarily, h(x, y) = x,
u ( x, y ) = f ( y − x ) + x g ( y − x )
Imposing the boundary conditions:
u(0, y) = 0  f (y) + 0 = 0
Therefore the function f is identically zero, for any argument including (y – x).
We now have u(x, y) = x g(y – x) .
u(x, 1) = x2  x g(1 – x) = x2  g(1 – x) = x

Let z = 1 – x , then x = 1 – z and g(z) = 1 – z  g(x) = 1 – x
Therefore
u(x, y) = x g(y – x) = x (1 – (y – x))
The complete solution is

u ( x, y ) = x ( x − y + 1)
Unit III INTRODUCTION TO PROBABILITY AND STATISTICS

3.1. Descriptive Statistics: Measures of Central tendency, Measures of Dispersion and
Measures of Forms.
3.1.1. Measure of central tendency and Location
Descriptive statistical measures have two functions: they provide a mental image of a data
distribution, and they are an essential component of inferential statistics, the basis of both
estimation and hypothesis testing.
The clustering of the measurements near the centre of a distribution is called central tendency, and
the statistical measures that describe aspects of the "centre" of a distribution are called measures

of central tendency. Because of the usual concentration of measurements in the centre of a
distribution, the various measures of central tendency are generally also called measures of
average value.
Measures of location show where the characteristics of a distribution are located in relation to the
measurement scale. The measures of location we will present are xmin and xmax , the minimum and
maximum values in the data set; xMedian , the median, which is the boundary point to the left of
which (and to the right of which) are 50% of the data, and xMode , the mode, which is the most
frequently occurring value in a set of data.
Arithmetic Mean
Let x1 , x2 , , xn be an array of n measurements of a variable X . Suppose that these n
measurements can be arranged into k categories, and let Ri , i = 1, 2, , k and fi , i = 1, 2, ,k

represent the frequency and relative frequency in each of the k categories, respectively. Then, the
arithmetic mean of the measurements is given by
n k
 xi R x i i k
x= i =1
= i =1
=  fi xi
n n i =1
Geometric Mean
For a set of positive numbers x1 , x2 , , xn , the geometric mean is the principal n th root of the
product of the n numbers.
n k
xG = n
 xi =
i =1
n
x i =1
i
Ri
Harmonic Mean
The harmonic mean of a set of data x1 , x2 , , xn is the reciprocal of the arithmetic mean of the
reciprocals of the data.

n n
xH = n
= k
1 Ri
xi =1

i =1 xi
i
It can be shown that

xH  xG  x

Example 3.1
Consider the height measurements of 25 students given in below frequency table. Calculate the
arithmetic mean, harmonic mean and geometric mean, and compare the results.
Solution
Table 3.1 gives basic calculations to be done
Table 31: Basic calculations
Ri
ii xi Ri Ri  xi xi
Ri
xi
1 152 1 152 152 0.0066
2 154 1 154 154 0.0065
3 155 1 155 155 0.0065
4 159 2 318 25281 0.0126
5 160 6 960 1.67772E+13 0.0375
6 161 2 322 25921 0.0124
7 162 1 162 162 0.0062
8 167 1 167 167 0.0060
9 170 4 680 835210000 0.0235
10 171 1 171 171 0.0058
11 172 4 688 875213056 0.0233
12 173 1 173 173 0.0058
4102 2.3337E+55 0.1526
12
R x i i
4102
Arithmetic mean x = i =1
= = 164.08 .
25 25
12
Geometric mean x G = 25  xiRi = 25 2.3337 1055 = 163.95
i =1
n 25
Harmonic mean x H = 12
= = 163.8270
Ri 0.1526

i =1 xi
The comparison x  x  x is verified. In fact, x = 163.8270  x = 163.95  x = 164.08 .

H G H G
Median
Suppose that the n observations x1 , x2 , , xn have been sorted according to size as x(1) , x( 2) , , x( n)
. We define the median denoted by xmedian or x , as the middle observation or the arithmetic mean

of the two middle observations. There are as many data values below the median as above it. If
there is an odd number of values in an array, then the median is the middle value of the array; if
there is an even number of values in an array, then the median is the arithmetic mean of the two
middle values. More precisely,
 xn +1
 2 if n is odd

x = x + x
 2
n n
+1
2
 if n is even
 2
Quartiles
The median is one of many possible quartiles that can be calculated from a data set organized into
ascending array. Some of them are quartiles, deciles and percentiles. There are three quartiles: first
quartile ( Q1 ) , second quartile ( Q2 ) and third quartile ( Q3 ) . They divide arrays into four equal
parts.
The first quartile Q1 is given by
x n  + x n 
    +1
Q1 = 4 4
n n
where   is the integer part of .
4 4
The third quartile Q3 is given by
x 3n  + x 3n 
    +1
Q3 = 4 4
 3n  3n
where   is the integer part of .
4 4
The interquartile range  is the difference between the third and first quartiles, and is thus given
by
 = Q3 − Q1
The second quartile is equal to the median, this is

Q2 = x

Mode
The mode of a set of numbers is that value which occurs with the greatest frequency; that is, it is
the most common value. The mode may not exist, and even if it does exist it may not be unique.
Example 3.2
Consider the height measurements of 25 students given in ascending order are
152 154 155 159 159 160 160 160 160 160 160 161 161
162 167 170 170 170 170 171 172 172 172 172 173 .
• The median is
x = x n +1 = x 25+1 = x13 = 161.
2 2
• The mode is
xmod e = 160 .
• The first quartile is

x n  + x n  x 25  + x 25 
    +1     +1 x6 + x6+1 x6 + x7 160 + 160
Q1 = 4 4
= 4 4
= = = = 160 .
2 2 2 2 2
• The second quartile is
Q2 = x = 161.
• The third quartile is

x 3n  + x 3n  x 75  + x 75 
4  4  +1 4  4  +1 x19 + x19+1 x19 + x20 170 + 171
Q3 =    
=    
= = = = 170.5 .
2 2 2 2 2
• The interquartile range is
 = Q3 − Q1 = 170.5 − 160 = 10.5
• The minimum and maximum values are respectively

xmin = x(1) = 152 and xmax = x( 25) = 173 .
Q1 − xmin =8 =10.5 xmax − Q3 = 2.5
152 154 155 159 159 160  160 160 160 160 160 161 161 162 167 170 170 170 170  171 172 172 172 172 173
xmin = x(1) Q1 =160 Q2 = x Q3 =170.5 xmax = x( 25)
R=21
3.1.2. Measures of Dispersion

The degree to which numerical data tend to spread about an average value is called the dispersion,
or variation, of the data. The most common measures of the dispersion are the range, mean
deviation, and standard deviation.
Range
The range is the largest value in a data set minus the smallest value.
R = xmax − xmin = x( n) − x(1)
The range has the drawback of involving only two values and does not involve the remaining
numbers in the data set.
Mean Deviation
The mean deviation (or average deviation) of a set of n observations x1 , , xn is defined as
n k
 xi − x R i xi − x k
xMD = i =1
= i =1
=  fi xi − x
n n i =1
Standard Deviation
The standard deviation of a set of n numbers x1 , , xn , denoted by s , is the root mean square of
the deviations from the arithmetic mean. More precisely,
 ( x − x)  R ( x − x)
n 2 k 2
 f ( x − x)
i i i k 2
s= i =1
= i =1
= i i
n n i =1
The variance of a set of data is defined as the square of the standard deviation and is thus given by
s2 .
Coefficient of Variation
The coefficient of variation (also called the coefficient of variability, the coefficient of dispersion,
or the relative standard deviation) is defined by
s s
CV = or CV = 100
x x
Example 3.5
Consider the height measurements of 25 students given in table 3.1. Calculate the mean deviation,
the standard deviation and the coefficient of variation.
Solution

12
R i xi − 164.08
148.24
The mean deviation is xMD = i =1
=  5.93 .
25 25
12
 R ( x − 164.08)
2
i i
1031.84
The standard deviation is s = i =1
=  6.42 .
25 25
s 6.42
The coefficient of variation is CV = 100 = 100 = 3.91% .
x 164.08
Table 3.2. Shows basic calculations to be done.
Table 3.2: Basic calculations
( )
2
xi Ri xi − x Ri xi − x Ri xi − x
i
1 152 1 -12.08 12.08 145.93
2 154 1 -10.08 10.08 101.61
3 155 1 -9.08 9.08 82.45
4 159 2 -5.08 10.16 51.61
5 160 6 -4.08 24.48 99.88
6 161 2 -3.08 6.16 18.97
7 162 1 -2.08 2.08 4.33
8 167 1 2.92 2.92 8.53
9 170 4 5.92 23.68 140.19
10 171 1 6.92 6.92 47.89
11 172 4 7.92 31.68 250.91
12 173 1 8.92 8.92 79.57
148.24 1031.84
3.1.3. Measures of the shape
Skewness
This is a concept which is commonly used in statistical decision making. It refers to the degree in which a
given frequency curve is deviating away from the normal distribution
There are 2 types of skewness namely:
i. Positive skewness
ii. Negative skewness
1. Positive Skewness

This is the tendency of a given frequency curve leaning towards the left. In a positively skewed distribution,
the long tail extended to the right.
In this distribution one should note the following

i. The mean is usually bigger than the mode and median
ii. The median always occurs between the mode and mean
iii. There are more observations below the mean than above the mean
This frequency distribution as represented in the skewed distribution curve is characteristic of the age
distributions in the developing countries
frequency Positively skewed frequency

Negatively skewed
frequency curve
frequency curve
Normal distribution
Long tail
Median
Mode
Mean
Median
Mode
Mean
2. Negative Skewness
This is an asymmetrical curve in which the long tail extends to the left
NB: This frequency curve for the age distribution is characteristic of the age distribution in developed
countries
-
The mode is usually bigger than the mean and median
-
The median usually occurs in between the mean and mode
-
The no. of observations above the mean are usually more than those below the mean (see the
shaded region)
Measures of skewness
( mean - median )
1. Coefficient Skewness = 3 
Standard deviation
mean - mode
2. Coefficient of skewness =
Standard deviation
NB: These 2 coefficients above are also known as Pearsonian measures of skewness.
Q 3 + Q1 - 2Q 2
3. Quartile Coefficient of skewness =
Q 3 + Q1
Where Q1 = 1st quartile
Q2 = 2nd quartile

Q3 = 3rd quartile
Example
The following information was obtained from an NGO which was giving small loans to some small scale
business enterprises in 1998. The loans are in the form of thousands of RWf.
Loans 46- 51- 56- 61-65 66- 71- 76- 81- 86- 91- Total
50 55 60 70 75 80 85 90 95
Units 32 62 97 120 92 83 52 40 21 11 610
Required
Using the Pearsonian measure of skewness, calculate the coefficients of skewness and hence comment
briefly on the nature of the distribution of the loans.
Arithmetic mean = 66.51
The standard deviation = 10.68
The Median = 65.27
( 66.51- 65.27 )
Therefore the Pearsonian coefficient = 3 = 0.348
10.68
Comment
The coefficient of skewness obtained suggests that the frequency distribution of the loans given was
positively skewed .
This is because the coefficient itself is positive. But the skewness is not very high implying the degree of
deviation of the frequency distribution from the normal distribution is small
Example 2
Using the above data calculate the quartile coefficient of skewness
Q 3 + Q1 - 2Q 2
Quartile coefficient of skewness =
Q 3 + Q1
(152.75 - 94 )  5 = 58.53
Q1 =55. 5 +
97
( 458.25 - 403)  5 = 73.83

Q3 =70.55 + ×5
83

Q2 = 60.5 +
( 305.5 -191)  5 = 65.27
120
73.83 + 58.53 − 2 ( 65.27 )

The required coefficient of skewness = = 0.013
73.83 + 58.53
Kurtosis
This is a concept, which refers to the degree of peakedness of a given frequency distribution. The degree is
normally measured with reference to normal distribution.
The concept of kurtosis is very useful in decision making processes i.e. if is a frequency distribution happens
to have either a higher peak or a lower peak, then it should not be used to make statistical inferences.
Generally there are 3 types of kurtosis namely:
a) A frequency distribution which is lepkurtic has generally a higher peak than that of the
normal distribution. The coefficient of kurtosis when determined will be found to be more
than 3. Thus frequency distributions with a value of more than 3 are definitely leptokurtic
b) Some frequency distributions when plotted may produce a curve similar to that of the
normal distribution. Such frequency distributions are referred to as mesokurtic. The degree
of kurtosis is usually equal to 3
c) When the frequency curve contacted produces a peak which is lower that that of a normal
distribution when such a curve is said to be platykurtic. The coefficient of such is usually
less than 3
It is necessary to calculate the numerical measure of kurtosis. The commonly used measure of kurtosis is
the percentile coefficient of kurtosis. This coefficient is normally determined using the following equation
1
( Q3 - Q1)
Percentile measure of kurtosis, K (Kappa) = 2
P90 - P10
Example
Refer to the table above for loans to small business firms/units
Required
Calculate the percentile coefficient of Kurtosis
90
P90 = ( n +1) = 0.9 ( 610 +1)
100
= 0.9 (611)
= 549.9
The actual loan for a firm in this position
( 549.9 - 538 )
(549.9) = 80.5 + x 5 = 81.99
40
10
P10 = (n + 1) = 0.1 (611) = 61.1
100
The actual loan value given to the firm on this position is
50.5 +
( 61.1 − 32 ) x 5 = 52.85
62
= 0.9 (611)
= 549.9
( Q3 - Q1) ( 73.83 - 58.53)

∴ Percentile measure of kurtosis K (Kappa) =½ =½ = 0.26
P90 - P10 81.99 - 52.85
Since 0.26 < 3, it can be concluded that the frequency distribution exhibited by the distribution of loans is
platykurtic.
3.2. Probability: Basic concepts and definition of probability, Conditional probability.

3.2.1. Basic concepts and definition of probability
Random experiment
In the study of probability, any process of observation is referred to as an experiment. The results
of an observation are called the outcomes of the experiment.
When different outcomes are obtained in repeated trials, the experiment is called a random
experiment. More precisely, an experiment is called a random experiment if its outcome cannot be
predicted.
Sample space
The set of all possible outcomes of a random experiment is called the sample space (or universal
set), and it is denoted by  . An element in  is called a sample point. Each outcome of a random
experiment corresponds to a sample point.
Example
If we toss a coin, there are two possible outcomes, heads ( H ) or tails ( T ).
Thus the sample space of the experiment of tossing a coin is
 = H , T  .
Example
If we toss a coin twice, the sample space of this experiment is
 = HH , HT , TH , TT  .

Example
If we toss a die, the set of all possible outcomes is given by
 = 1, 2,3, 4,5, 6 .
Example
If an experiment consists of measuring “lifetimes” of electric light bulbs produced by a company,
then the result of the experiment is a time t in hours that lies in some interval  = t : 0  t  4000
where we assume that no bulb lasts more than 4000 hours.
Events
An event is any subset of the sample space  . A sample point of  is often referred to as a simple
or elementary event. The sample space  is the subset of itself, that is    . Since  is the set
of all possible outcomes, it is often called the sure or certain event. The empty set  , which is
called the impossible event because an element of  cannot occur.
Example
If we toss a coin twice, the event that only one head comes up is the subset A = HT , TH  of the
sample space  = HH , HT , TH , TT  .
If the sets corresponding to events A and B are disjoint, i.e., A  B =  , the events are said to be
mutually exclusive. This means that they cannot both occur. We say that a collection of events
A1 , , An is mutually exclusive if every pair in the collection is mutually exclusive.
Set operations on events

Let A and B be the events in the sample space  . Then
• A  B is the event “either A or B or both”. A  B is called the union of A and B .
• A  B is the event “both A and B ”. A  B is called the intersection of A and B .
• A is the event “not A ”. A is called the complement of A .
• A − B = A  B is the event “ A but not B ”. In particular, A =  − A .
Example
Referring to the experiment of tossing a coin twice, let A be the event “at least one head occurs”
and B the event “the second toss results is a tail”.

Then A = HT , TH , HH  , B = HT , TT  , and so we have
A  B = HT , TH , HH , TT  , A  B = HT  , A = TT  , A − B = TH , HH 
The Concept of Probability
In any random experiment there is always uncertainty as to whether a particular event will or will
not occur. As a measure of the chance, or probability, with which we can expect the event to occur,
it is convenient to assign a number between 0 and 1. If we are sure or certain that an event will
occur, we say that its probability is 100% or 1 . If we are sure that the event will not occur, we say
that its probability is zero.
1
If, for example, the probability is , we would say that there is a 25% chance it will occur and a
4
75% chance that it will not occur.
There are two important procedures by means of which we can estimate the probability of an event.
Classical approach: If an event A can occur in h different ways out of a total of n possible
ways, all of which are equally likely, then the probability of the event is
h
P ( A) = .
n
Example
Suppose we want to know the probability that a head will turn up in a single toss of a coin. Since
there are two equally likely ways in which the coin can come up (heads and tails) assuming it does
not roll away or stand on its edge, and of these two ways a head can arise in only one way, we
1
reason that the required probability is .
2
Frequency approach: If after n repetitions of an experiment, where n is very large, an event A
is observed to occur in h of these, then the probability of the event is
h
P ( A) = .
n
This is also called the empirical probability of the event A .
Example

If we toss a coin 1000 times and find that it comes up heads 532 times, we estimate the probability
532
of a head coming up to be = 0.532 .
1000
The Axioms of Probability
Suppose we have a sample space  . To each event A in the class C of events, we associate a
real number P ( A) . Then P is called a probability function, and P ( A) the probability of the
event A , if the following axioms are satisfied.

Axioms
For every event A in the class C ,
P ( A)  0
For the sure or certain event  in the class C ,
P () = 1
For any number of mutually exclusive events A1 , A2 , in the class C ,
  
P  Ai  =  P ( Ai )
 i =1  i =1
In particular, for two mutually exclusive events A1 and A2 ,

P ( A1  A2 ) = P ( A1 ) + P ( A2 )
Some Important Theorems on Probability
Theorem 3.1
If A1  A2 , then
P ( A1 )  P ( A2 ) and P ( A2 − A1 ) = P ( A2 ) − P ( A1 )
Proof
( 1 ) ( 1 )
If A1  A2 ,then A2 = A1  A  A2 and P ( A2 ) = P ( A1 ) + P A  A2  P ( A1 ) ,since
( )
P A1  A2 = P ( A2 − A1 ).

Theorem 3.2
For every event A ,
0  P ( A)  1
i.e., a probability is between 0 and 1.
Theorem 3.3
For  , the empty set,
P () = 0
i.e., the impossible event has probability zero.
Proof
Note that  =  and  and  are mutually exclusive. Then P (  ) = P (  ) + P (  ) , and
P (  ) = 0 since P (  ) = 1.
Theorem 3.4
If A is the complement of A , then,
( )
P A = 1 − P ( A)
Proof
Note that  = A  A and A and A are mutually exclusive. Then P (  ) = P ( A ) + P A , and( )
( )
P A = 1 − P ( A ) since P (  ) = 1.
Theorem 3.5
If A = A1  A2   An , where A1 , A2 , , An are mutually exclusive event, then,
P ( A) = P ( A1 ) + P ( A2 ) + + P ( An )
In particular, if A =  , then
P ( A) = P ( A1 ) + P ( A2 ) + + P ( An ) = 1
Theorem 2.6
If A and B are two events, then,

P ( A  B ) = P ( A) + P ( B ) − P ( A  B )
Proof
( )
Since A  B = A  B  A , where A and B  A are mutually exclusive, and
( )
B = ( A  B )  B  A , where A  B and B  A are mutually exclusive, then
( ) (
P ( A  B ) = P ( A ) + P B  A and P ( B ) = P ( A  B ) + P B  A . Substracting,)
P ( A  B ) − P ( B ) = P ( A) − P ( A  B ) , and thus P ( A  B ) = P ( A) + P ( B ) − P ( A  B ) .
More generally, if A1 , A2 , A3 are any three events, then

P ( A1  A2  A3 ) = P ( A1 ) + P ( A2 ) + P ( A3 ) − P ( A1  A2 ) − P ( A1  A3 )
− P ( A2  A3 ) + P ( A1  A2  A3 )
Generalisations to n events can also be made:

If A1 , A2 , , An are n arbitrary events in  , then
 n  n
P  Ai  =  P ( Ai ) −  P ( Ai  Aj ) +  ( Ai  Aj  Ak ) +
 i =1  i =1 i j i j k
+ ( −1) P ( A1  A2   An )
n −1
−
Theorem 3.7
For any events A and B ,
(
P ( A) = P ( A  B ) + P A  B )
Theorem 3.8
If an event must result in the occurrence of one of the mutually exclusive events A1 , A2 , , An ,
then,
P ( A) = P ( A  A1 ) + P ( A  A2 ) + + P ( A  An )
Example
A single die is tossed once. The sample space is  = 1, 2,3, 4,5, 6 .

If we assign the equal probability to the sample points, i.e., if we assume that the die is fair, then
1
P (1) = P ( 2 ) = = P (6) = .
6
The event that either a 2 or 5 turns up is indicated by A = 2  5 . Therefore, the probability of a 2
or 5 turning up is
1 1 1
P ( A) = P ( 2  5) = P ( 2 ) + P ( 5) = + =
6 6 3
Example
Suppose events A and B are not mutually exclusive and we know that P ( A) = 0.20 ,
P ( B ) = 0.30 and P ( A  B ) = 0.10 . Then
• ( )
P A = 1 − P ( A ) = 0.80
• P ( B ) = 1 − P ( B ) = 0.70
• P ( A  B ) = P ( A) + P ( B ) − P ( A  B ) = 0.20 + 0.30 − 0.10 = 0.40
( ) ( )
P A  B = P A  B = 1 − P ( A  B ) = 1 −  P ( A ) + P ( B ) − P ( A  B )  = 1 − 0.40 = 0.60
3.2.2. Conditional probability
Let A and B be two events such that P ( A)  0 . Denote by P ( B A) the probability of B given
that A has occurred. Since A is known to have occurred, it becomes the new sample space
replacing the original  . From this we are led to the definition
P ( A  B)
P ( B A) =
P ( A)
or P ( A  B ) = P ( A)  P ( B A)
where P ( A  B ) is the joint probability of A and B .
Similarly, for P ( B )  0 , the probability of A given that B has occurred is
P ( A  B)
P ( A B) =
P ( B)
or P ( A  B) = P ( B)  P ( A B)

From above equations, we have
P ( A  B ) = P ( A)  P ( B A) = P ( B )  P ( A B )
Bayes´ rule
P ( A)  P ( B A)
P ( A B) =
P ( B)
Example
Find the probability that a single toss of a die will result in a number less than 4 if
(a) no other information is given and
(b) it is given that the toss resulted in an odd number.
Solution
(a) Let B denote the event {less than 4}, i.e., B = 1, 2,3 . Since B is the union of the events 1,
2, or 3 turning up, we see by Theorem 2. 5 that
1 1 1 1
P ( B ) = P (1  2  3) = P (1) + P ( 2 ) + P ( 3) = + + =
6 6 6 2
We assume equal probabilities for the sample points.
(b) Letting A be the event {odd number}, i.e. A = 1,3,5 . We see that
1 1 1 1
P ( A ) = P (1  3  5 ) = P (1) + P ( 3) + P ( 5 ) = + + = .
6 6 6 2
As A  B = 1,3 , we see that
2 1
P ( A  B) = = .
6 3
P ( A  B)
Then P ( B A) =
1/ 3 2
= = . Hence, the added knowledge that the toss results in
P ( A) 1/ 2 3
1 2
an odd number raises the probability from to .
2 3
Theorems on Conditional Probability
Theorem3.9
For any three events A1 , A2 , A3 we have

P ( A1  A2  A3 ) = P ( A1 )  P ( A2 A1 )  P ( A3 A1  A2 )
The result above is easily generalized to n events.
Theorem 3.10
If an event A must result in one of the mutually exclusive events A1 , A2 , , An , then
n
P ( A ) =  P ( Ai )  P ( A Ai )
i =1
Total Probability
• Definition (Mutually exclusive and exhaustive events)
The events A1 , A2 , , An are mutually exclusive and exhaustive if

n
Ai =  and Ai  A j = , i  j
i =1
• Total Probability
Let B be any event in  . Then

n n
P ( B ) =  P ( B  Ai ) =  P ( Ai )  P ( B Ai )
i =1 i =1
Eq. (2.25) is known as the total probability of event B .
Proof
Let us consider the Venn diagram of Fig. 3.1.

Fig. 3.1: Total Probability
Since B = B   , we have
B = B   = B  ( A1   An )
= ( B  A1 )   ( B  An ) .
The events ( B  A1 ) , i = 1, 2, , n are mutually exclusive. We obtain
P ( B ) = P ( B   ) = P ( B  A1 )   ( B  An ) 
n n
=  P ( B  Ai ) =  P ( Ai )  P ( B Ai ) .
i =1 i =1
Bayes´ Theorem
Let A1 , A2 , , An be mutually exclusive and exhaustive events. Then if B is any event in  , we
obtain
P ( Ai )  P ( B Ai )
P ( Ai B ) =
( A ) P (B A )
n
j j
j =1
Example
Three facilities supply microprocessors to a manufacturer of elementary equipment. All are
supposedly made to the same specifications. However, the manufacturer has for several years
tested the microprocessors, and records indicate the following information (Table 3.1).
Table 3.1: Test results
Supply Facility Fraction Defective Fraction Supplied
1 0.02 0.15
2 0.01 0.80
3 0.02 0.05
The manufacturer has stopped testing because of the costs involved, and it may be reasonably
assumed that the fractions that are defective and the inventory mix are the same as during the
period of record keeping. The director of manufacturing randomly selects a microprocessor, takes
it to the test department, and finds that it is defective. If we let A be the event that an item is
defective, and Bi be the event that the item came from facility i ( i = 1, 2,3 ), then we can evaluate
P ( Bi A) . Suppose, for instance, that we are interested in determining P ( B3 A) . Then
P ( B3 ) P ( A B3 )
P ( B3 A) =
P ( B1 ) P ( A B1 ) + P ( B2 ) P ( A B2 ) + P ( B3 ) P ( A B3 )
0.05  0.03 3
= = .
0.15  0.02 + 0.80  0.01 + 0.05  0.03 25
Independents Events
Two events A and B are said to be independent if and only if
P ( A  B ) = P ( A)  P ( B )
It follows immediately that if A and B are independent, then

P ( A B ) = P ( A) and P ( B A) = P ( B )
If two events A and B are independent, then it can be shown that A and B are also
independent, that is
( )
P A  B = P ( A)  P B ( )
(
P A B ) = P ( A)
Then ( )
P AB =
P B( )
Three events A, B, C are independent if and only if

1.P ( A  B  C ) = P ( A )  P ( B )  P ( C )
2.P ( A  B ) = P ( A )  P ( B )
3.P ( A  C ) = P ( A )  P ( C )
4.P ( B  C ) = P ( B )  P ( C )
To distinguish between the mutual exclusiveness (or disjointness) and independence of a

collection of events we summarize as follows:
• If  Ai , i = 1, 2, , n is a sequence of mutually exclusive events, then
 n  n
P  Ai  =  P ( Ai )
 i =1  i =1
• If  Ai , i = 1, 2, , n is a sequence of independent events, then
 n  n
P  Ai  =  P ( Ai )
 i =1  i =1
3.3. Probability distributions including Discrete distributions e.g. binomial and Poisson
distributions and Continuous distribution e.g. Normal Distribution.
a) Introduction
Random variable: the measurements of a random variable vary in a seemingly random and
unpredictable manner. A random variable assumes a unique numerical value for each of the
outcomes in the sample space of the probability experiment.
If we toss a coin twice, the number of Heads obtained could be 0, 1 or 2. The probabilities of
these occurrences are:
P (No heads) =P (TT) = (1/2)* (1/2) =1/4
P (1 head) =P (TH) +P (HT) = (0.5*0.5) + (0.5*0.5) =0.5
P (2 heads) =P (HH) =0.5*0.5=0.25
The probability distribution is often written as follow:
x 0 1 2
P(X=x) 0.25 0.5 0.25
Random Variable: a variable whose values are determined by chance.

A random variable X is a function defined as follow:

X :  → X ( ) = IR = x1 , x 2 , ..., x n 
 X ( )
 → 
Event

Re al number
b) Discrete random variables

(i) Definition
X can take only values x1 , x2 , ..., x n .The probability associated with these values are
P1 , P2 , ...., Pn
Where
P( X = x1 ) = P1
P( X = x 2 ) = P2
.......... .......... .....
.......... .......... .....
P( X = x n ) = Pn
n
Then X is a discrete random variable if  P = 1 or  P( X = x ) = 1

i =1
i
all x
We always denote a random variable by a capital letter X,Y,Z….and the particular values by
lower case letter x,y,z….
(ii) Probability density function (pdf)

This is the function that is responsible for allocating probabilities. It is written as
f (xi ) = P( X = xi ) with 1  i  n .
x1 f (x1 ) = P1
x2 f (x2 ) = P2
x3 f (x3 ) = P3
…… ……..
xn f (x n ) = Pn
n
0  f ( xi )  1 and  f (x ) = 1
i
i =1

Example: The following table gives the pdf of X
i 1 2 3 4
xi -3 -2 1 4
P( X = xi ) 0.1 0.2 0.3 0.4
(iii) Characteristics of a random variable.
• Expectation: E(X )

Expected value or Mean
Let X be a r.v with pdf f(x)=P(X=x) and x is discrete. The expectation of X written E ( X ) is
given by
n n
E ( X ) =  x P( X = x ) or E ( X ) =  xi Pi or E ( X ) =  xi f (xi )
i =1 i =1
It is the average of the numbers giving the gains and the losses weighted by their probabilities.
The game permits to expect an average gain or an average loss (by part) of E(X).
One says that the game is favourable if E(X) is positive and it is not favourable if E(X) is
negative.
If E(X) =0, the game is balanced.
Theorems:
1. Let consider an r.v X and a real number k:
E (kX ) = k E ( X )
E(X + k ) = E(X ) + k
2. Let consider X and Y, two r.v:
E( X + Y ) = E( X ) + E(Y )
Example: A random variable has pdf as shown. Find E(X).
X -2 -1 0 1 2
P(X=x) 0.3 0.1 0.15 0.4 0.05
Solution
E(X ) =  x P( X = x ) = (−2 * 0.3) + (−1 * 0.1) + (0 * 0.15) + (1 * 0.4) + (2 * 0.05) = −0.2
all x

• The expectation of any function of X, E[g(x)]
Let X be a r.v and pdf f(x) =P(X=x). Let also g(x) be a function of the r.v. X. Then ,
the expected value of g(x) written E[g(x)] is given by: E g ( x ) =  g (x ) P( X = x )

all x
Example:
The r.v X has pdf P(X=x) for x=1, 2, 3.
X 1 2 3
P(X=x) 0.1 0.6 0.3
Compute
a) E(3) b) E(X) c) E(5X) d) E(5X+3)
Solution
a) E ( X ) =  x P( X = x )
all x
But since x=3, we have

E (x ) =  3 P( X = x ) = 3  P( X = x ) = 3 * (0.1 + 0.6 + 0.3) = 3 *1 = 3
all x all x
b) E ( X ) =  x P( X = x ) = (1 * 0.1) + (2 * 0.6) + (3 * 0.3) = 2.2

all x
c) E (5 X ) =  5 x P( X = x ) = (5 *1 * 0.1) + (5 * 2 * 0.6) + (3 * 5 * 0.3) = 11

all x
d) E (5 X + 3) =  (5 x + 3) P( X = x ) = 8 * 0.1 + 13 * 0.6 + 18 * 0.3 = 14

all x
• Variance (Var X) and standard deviation  X
f (x) = P( X = x), x  IR E( X ) =  
Let X be a r.v having the pdf and the where

is constant. The variance of X, written Var (X) is given by: Var X = E ( X −  ) .Alternatively,
2


Var X = E ( X −  )
2

(
= E X 2 − 2 X +  2 )
= E (X 2
) − 2 * E ( X ) + E ( ) 2
= E (X 2
)− 2 *  *  +  2
= E (X 2
) − 2 +  2 2
= E (X 2
)−  2
Var X = E (X ) − E ( X )
2 2
n
=  xi2 * Pi − E 2 ( X )
i =1
 X = Var X
The variance is defined as the average of the sum of squared deviationsfrom different values of
gains (losses) around the expected value (=mean) of gain (or loss).
The standard deviation is a parameter that indicates the spread of the gains or the losses.
Properties
Var (k ) = 0
Var (kX ) = k 2Var ( X )
Var ( X + k ) = Var ( X )
Var (kX + +b ) = k 2Var ( X )
 (kX ) =  kX = k *  X
Example:
An r.v X has the following distribution:
x 1 2 3 4 5
P(X=x) 0.1 0.3 0.2 0.3 0.1
Find E(X), Var X and  X

Solution
a) E ( X ) =  xP( X = x ) = (1 * 0.1) + (2 * 0.3) + (3 * 0.2) + (4 * 0.3) + (5 * 0.1) = 3

all x

2
( )
b) Var X = E X − E( X )
2
E (X 2 ) =  x 2 P( X = x ) = (1 * 0.1) + (4 * 0.3) + (9 * 0.2 ) + (16 * 0.3) + (25 * 0.1) = 10.4

all x
So that Var X = 10.4 − 3 2 = 1.4

 X = 1.4 = 1.1832
EXERCISE
FIND THE MEAN, VARIANCE, AND STANDARD DEVIATION FOR THE FOLLOWING PROBABILITY
DISTRIBUTION .
x 1 2 3 4 5 6 sum
p(x) 1/6 1/6 1/6 1/6 1/6 1/6 6/6=1
Hint:
x 1 2 3 4 5 6 sum
p(x) 1/6 1/6 1/6 1/6 1/6 1/6 6/6 = 1
x p(x) 1/6 2/6 3/6 4/6 5/6 6/6 21/6 = 3.5
x^2 p(x) 1/6 4/6 9/6 16/6 25/6 36/6 91/6 = 15.1667
The joint probability distribution of X and Y.
X y1 y2 ….. y j ….. ym Total

Y
x1 h(x1 , y1 ) h(x1 , y 2 ) ……. h(x1 , y m ) f (x1 )
x2 h(x2 , y1 ) h(x2 , y 2 ) …….. h( x 2 , y m ) f (x2 )
…. x i …
………. ……… ………. ……… f ( xi )
xn h( x n , y1 ) h( x n , y 2 ) ……….. h( x n , y m ) f (xn )
Total g ( y1 ) g ( y2 ) g (y j ) g ( ym ) 1
The functions f ( xi ) and g ( y j ) are called marginal pdf. of X and Y respectively.

Example: Let consider two independent r.v X and Y with the following corresponding
pdf:
xi 1 2
f ( xi ) 0.3 0.7
yj 2 3 4
g( y j ) 0.1 0.5 0.4
Then the joint probability distribution is stated as follow:
X Y 2 3 4 Total
1 0.3*0.1=0.03 0.3*0.5=0.15 0.3*0.4=0.12 0.3
2 0.7*0.1=0.07 0.7*0.5=0.35 0.7*0.4=0.28 0.7
Total 0.1 0.5 0.4 1
Note:
Two variables X and Y are independent iff:
1) E( X , Y ) = E( X ) * E(Y )
2) Var( X + Y ) = Var X + Var Y
3) Cov( X , Y ) = 0
• Covariance and correlation coefficient
Let consider two r.v X and Y:

Cov( X , Y ) = E( X  Y ) −  X * Y where  X = E( X ) and Y = E(Y )
Cov( X , Y )
The Pearson correlation coefficient of X and Y is r ( X , Y ) =  *  .
X Y
The Pearson correlation coefficient is a dimensionless quantity with following properties:

1) r ( X , Y ) = r (Y , X )
2) r ( X , X ) = 1 and r ( X ,− X ) = −1
3) r (aX + b, cY + d ) = r ( X , Y ) with a, c  0
Exercises
1. Three girls Aileen, Barbara and Cathy pack biscuits in a factory. From the batch allotted to
them Aileen packs 55%, Barbara 30% and Cathy 15%. The probability that Aileen breaks some
biscuits in a pack is 0.7 and the respective probability for Barbara and Cathy are 0.2 and 0.1.
What is the probability that a packet with broken biscuits found by the checker was packed by
Aileen.
2. Calculate the expected value , the variance and the standard deviation for the following
pdf:
xi -5 -4 1 2
f ( xi ) 1 1 1 1
4 8 2 8
3. A perfect coin is tossed until one obtains either Head or 5 Tails. Compute
E( X ) , Var( X ) and  X
4. Let consider two pdf of X and Y:
X 1 2 3 4
P(X=x) 1 1 1 1
4 4 4 4
Y 0 1 2
P(Y=y) 1 1 1
4 2 4
a) Obtain the probability distribution of X and Y.

b) Find E( X ) , E(Y ), Var( X ) and Var(Y ) .
c) Obtain the probability distribution of X + Y.
d) Find E( X + Y ) and Var( X + Y ) .
(iv) Special discrete probability distributions.

• Binomial distribution
Binomial experiment: an experiment with a fixed number of independent trials. Each trial can
only have two outcomes, or outcomes which can be reduced to two outcomes. The probability of
each outcome must remain constant from trial to trial.
Binomial distribution: the outcomes of a binomial experiment with their corresponding
probabilities.
Let consider an experiment with n independent trials and only two possible outcomes. We call
one of the outcomes successful outcome and the probability of its occurring is P(s) =p. The other
outcome is called fail outcome and the probability of its occurring is P (f) =q=1 -p.
The probability for getting exactly k successes in n trials is
n
Pk = B(k , n, p ) = B( n, p ) =   p k q n − k and k = 0,1, 2,..., n .
k 
 n  k n−k
Then the pdf of X is given by f ( x ) = P ( X = x ) =   p q and k = 0,1, 2,..., n
k 
We write X Bin(n, p ) and read “X is a random variable following the binomial
distribution with parameter n and p”.
Example:
The probability that a person supports party A is 0.6.Find the probability that a randomly
selected sample of 8 voters, there are:
a) Exactly 3 who support party A.
b) More than 5 who support party A
Solution
Consider “support of party A to be success”. Then p=0.6 and q=1-0.6=0.4.

Let X be the r.v.” the number of party A supporters”
X ~ Bin(n, p )

X ~ Bin(8, 0.6) and its pdf is given by
n
f ( x ) = P( X = x ) =   p k q n − k and k = 0,1, 2,..., n
k 
8
f (x ) = P( X = x ) =   (0.6) k (0.4) 8− k and k = 0,1, 2,...,8
k 
Thus
a) k=3
8 8−3
P(X=3)=  3  (0.6) (0.4) = 0.124
3
 
b) P(X>5)=P(X=6)+P(X=7)+P(X=8)
8 8− 6 8 8−7 8 8 −8
=  6  (0.6) (0.4) +  7  (0.6) (0.4) +  8  (0.6) (0.4)
6 7 8
     
8 8 8
=  6  (0.6) (0.4) +  7  (0.6) (0.4) +  8  (0.6) (0.4)
6 2 7 1 8 0
     
=0.315
Expectation value and variance.
Bin(n, p ) E( X ) = np and Var X = npq where q = 1 − p

If the r.v X is such that X ~ , then
Example: If the probability that it will be a fine day is 0.4.Find the expected number of fine days
in a week end and the standard deviation.
Solution
Let “fine day” be “success”. Then, p=0.4 and q=0.6.
Bin(n, p )
Let X be an r.v. “number of fine days in a week “.Then X ~ , where n=7 and p=0.4.
Bin(7, 0.4)
Hence X ~
a) E( X ) = np = 7 * (0.4) = 2.8
b) Var X = npq = 7 * (0.4) * (0.6) = 1.68
  = Var X = 1.68 = 1.2961

Mode
Bin(n, p )
Let the r.v. X be such that X . To compute the mode of the probability distribution of
X, we only consider the values of X close to E(X).
Example:
Bin(10, 0.45)
If X ~ , find the mode of the probability distribution of X.
Solution
 n  k n−k
Here X has pdf as follow: f ( x ) = P( X = x ) =  k  p q and k = 0,1, 2,..., n
 
10 
So that P( X = x ) =  k  (0.45) (0.55)
n−k
k
and k = 0,1, 2,...,10
 
But E(x) =np=10*0.45=4.5
10 
Now P( X = 3) =  3  (0.45) (0.55)
10 −3
3
= 0.1664
 
10 
P( X = 4 ) =   (0.45) 4 (0.55)10− 4 = 0.2383
4
10 
P( X = 5) =   (0.45) 5 (0.55)10−5 = 0.2340
5
10 
P( X = 6 ) =   (0.45) 6 (0.55)10−6 = 0.1595
6
Here X with the highest probability is 4. Therefore the mode of X is 4.
• Poisson distribution
Poisson distribution: a probability distribution used when a density of items is distributed over a
period of time. The sample size needs to be large and the probability of success to be small.
Let X be a discrete r.v. It is said to follow the Poisson distribution if its pdf is of the form:

e − x
P( X = x ) = for x = 0, 1, 2, .....to inf inity where  is the parameter of the distribution.
x!
We write : X ~ P0 ( )
Then the Poisson distribution is defined by

k e − 
p(k ,  ) = p0 ( ) = , k = 0, 1, 2,....... where  is any cons tan t. This distribution is an
k!
infinitely countable distribution.
X ~ P0 (3.5) , find:
Example If
a) P( X = 4)
b) P( X  2)
c) P( X  1)
Solution
e −3.5 (3.5)
x
P( X = x ) = , x = 0, 1, 2,......
x!
e −3.5 (3.5)
4
a) P ( X = 4 ) = = 0.1888.....
4!
b)
P( X  2 ) = P( X = 0 ) + P( X = 1) + P( X = 2 )
e −3.5 (3.5) e −3.5 (3.5) e −3.5 (3.5)
0 1 2
= + +
0! 1! 2!
 (3.5)  2
= e −3.5 1 + 3.5 +  = 0.3208
 2! 
c)
P( X  1) = 1 − P( X  1)
= 1 − P( X = 0) + P( X = 1)
( )
= 1 − e −3.5 + e −3.5 (3.5) = 0.8641
Expectation value and variance If X is a discrete r.v such that X ~ P0 ( ) , then

E( X ) =  and Var X = 
Example

X ~ P0 ( ) with standard deviation 3. Find
If
a) E(X)
b) P(X<4)
Solution
a) Since standard deviation  = Var X , we have Var X = 3  Var X = 9 = 

Consequently, since X ~ P0 ( ) , E( X ) = Var X = 9
e −9 9 x
Thus the pdf of X is given by P( X = x ) = , x = 0,1, 2, .....
x!
b) P( X  4) = P( X = 0) + P( X = 1) + P( X = 2) + P( X = 3)
e −9 * 9 2 e −9 * 9 3
= e −9 + e −9 * 9 + + = 0.02122....
2! 3!
Uses of Poisson distribution
There are two main practical uses of Poisson distribution:
a) When we consider the distribution of random events
When an event is randomly scattered in time (or in space) and has mean number of occurrences
 in a given interval and if X is a random variable “the number of occurrences in a given
interval, then X ~ P0 ( ) .
Examples:-Car accidents on a particular street of road in one day
-Accidents in a factory per week
-Telephone calls made to a switchboard in a given minute.
Exercise
The mean number of bacteria per millimetre of a liquid is known to be 4. Assuming that the
number of bacteria follows a Poisson distribution, find the probability that 1 ml of liquid there
will be:
❖ No bacteria
❖ 4 bacteria
❖ Less than 3 bacteria

Solution
X ~ P0 (4)
e −4 4 x
P( X = x ) =
x!
Where X is the r.v. “the number of bacteria in 1 ml of liquid”
❖ P( X = 0) = P(no bacteria) = e = 0.0183

−4
e −4 4 4
❖ P ( X = 4 ) = P (4 bacteria in 1 ml ) = = 0.195
4!
❖ P( X  3) = P(less than 3 bacteria in 1 ml )
= P( X = 0) + P( X = 1) + P( X = 2)
e −4 4 2
= e −4 + e −4 * 4 + = e − 4 (1 + 4 + 8) = 0.238
2!
b) When we approximate the binomial distribution.
Let X be an r.v. such that X ~ Bin (n, p ) .Now X can be approximated by a Poisson distribution
with parameter  = np if n is large (> 50 ) and p is small (< 0.1).
The approximation gets better as n →  and p → 0 .
Example:
A factory packs bolts in boxes of 500. The probability that a bolt is defective is 0.002.
Find the probability that a box contains 2 defective bolts.
Solution
Let X be the random variable. The number of defective bolts in a box:
X ~ Bin (n , p ) since n=500, p=0.002, then X ~ Bin (500, 0.002)
Thus the pdf of X is given by:

 500
p ( X = x ) =   (0.002) (0.998)
500 − x
, x = 0,1, 2,......, 500
x
 x 
 500
p ( X = 2 ) =   (0.002) (0.998) = 0.184
2 498
 2 
 = n p = 500 * 0.002 = 1
Since n=500, p=0.002, we use the Poisson approximation with
e −1 * 1x
~ P0 (1) With pdf p( X = x ) = x ! , x = 0,1,2,..... 500
X
We require computing:
e −1 *12
P( X = 2) = = 0.184
2!
Mode
Let X ~ P0 ( ) . Assume that  = 1 ,thus the pdf of X is given by:

e −1 * 1 x
P( X = x ) = ; x = 0,1,2,.......
x!
x = 0 , P( X = 0 ) = e −1 = 0.3678
x = 1 , P( X = 1) = e −1 = 0.3678
e −1
x = 2 , P( X = 2) = = 0.1839
2!
e −1
x = 3 , P ( X = 3) = = 0.0613
3!
…………………………………
………………………………….
We notice that the modes are 0 and 1.
x =  −1 , x = 
In general, if  is an integer, then there are two modes and these occur when

e −1.6 *1.6 x
Let  = 1.6 , X ~ P0 (1.6 ) = P( X = x ) = x!
x = 0,1,2,......
x = 0 , P( X = 0 ) = e −1.6 = 0.20189
x = 1, P( X = 1) = e −1.6 * (1.6 ) = 0.3230
e −1.6 * (1.6 )
2
x = 2, P( X = 2) = = 0.2584
2!
e −1.6 * (1.6 )
3
x = 3, P( X = 3) = = 0.1378
3!
The mode is 1.
In general if  is nor an integer then the mode is an integer such that  − 1  mod e  
Continuous random variables
(i) Introduction
A continuous random variable is a theoretical representation of a continuous variable such as

height, mass or time.
Let X a random variable such that
X :  → X ( ) = a , b
 X ( )
 → 
Event

Re al number
Y=f(x)
Area
0 a x b X

One says that X is a continuous random variable and f(x) is the probability density function.
This pdf satisfies the following conditions:
b
1. f ( x )  0 and  f (x ) dx = 1
a
b
2. E ( X ) =  x f ( x ) dx
a
b
3.Var ( X ) =  x 2 f ( x ) dx − E 2 ( X )
a
4. X = Var ( X )
If f(x) is the probability density function on (−  , + ) , then:

+
1.  f (x ) dx = 1
−
+
2. E ( X ) =  x f (x ) dx
−
+
3.Var ( X ) =  x f (x ) dx − E ( X )
2 2
−
4. X = Var ( X )
3
 1+ x , 0  x  1
ExampleThe continuous random variable X has pdf f (x ) =  4
2
( )

0 , otherwise
Find the expectation, the variance and the standard deviation of X.
Solution
1
3  x2 x4 
( ) (
31 1
)
1 1
E ( X ) =  f (x ) d x =  x 1 + x d x =  x + x d x =  +  =  + 
3 2 3 3
all x 40 40 4 2 4 0 4  2 4 
33 9
=  = = 0.5625
4  4  16
3  x3 x5  3 1 1  3 8 2
( ) ( )
1
But E X 2 =  x 2 f ( x ) d x =
3
4 0
x 2
+ x 4
d x =  +  =  +  = * = = 0 .4
all x 4 3 5  4  3 5  4 15 5
Var ( X ) =  x 2 f ( x ) d x −  2
all x
Then, Var X = 0.4 − (0.5625) = 0.0835

2
 X = Var X = 0.289

Mode
The mode is the value of X for which f(x) is greatest in the given range of X.
For some pdf, it is possible to determine the mode by finding the maximum point on the curve
y=f(x).
Example
3
 (2 + x ) (4 − x ), 0  x  4
The continuous r.v. X has pdf f (x ) =  80

0 , otherwise
Find the mode.
Solution
Y
f (x ) = (2 + x ) (4 − x )
3
0.3
80
X
Mode
Mode=1
ii) THE NORMAL DISTIBUTION
𝜇
The normal distribution is important in statistics for four main reasons:
1. Numerous phenomena measured on continuous scales have been shown to follow ( or can
be approximated by ) the normal distribution.
2. We can use the normal distribution to approximate various discrete probability
distributions, such as the binomial and the Poisson.
3. It provides the basis for the statistical process-control

4. It provides the basis for classical statistical inference.
The Standard Normal distribution

In general we have:
𝑋~𝑁(𝜇, 𝜎 2 ) Such that the density distribution is given by this mathematical expression:
𝑥−𝜇 2
1 {−1( ) }
𝑓(𝑋) = 𝑒 2 𝜎
√2𝜋𝜎
By standardizing a normally a normally distributed random variable, we will need only one table.
𝑿−𝝁𝒙
By using the transformation formula for 𝑍, the standard normal score 𝒁 =
𝝈𝒙
In this case we have: 𝒁~𝑵(𝟎, 𝟏)

The distribution of a random variable which follows the normal law is symmetric according to its
expected.
68%
𝜇 −𝜎 𝜇 𝜇+𝜎
𝑃 (𝜇 − 𝜎 ≤ 𝑋 ≤ 𝜇 + 𝜎) = 0.68
𝑃 (𝜇 − 2𝜎 ≤ 𝑋 ≤ 𝜇 + 2𝜎) = 0.95
𝑃 (𝜇 − 3𝜎 ≤ 𝑋 ≤ 𝜇 + 3𝜎) = 0.997
∞
∫−∞ 𝑓(𝑥) = 1
Properties
1. 𝑃[𝑎 < 𝑋 < 𝑏] = 𝑃[𝑋 < 𝑏] − 𝑃[𝑋 < 𝑎]
2. 𝑃 [𝑋 > 𝑎] = 1 − 𝑃 [𝑋 < 𝑎]
3. 𝑃 [𝑋 < −𝑎] = 1 − 𝑃 [𝑋 < 𝑎]
𝑃[( 𝑎<𝑋<𝑏) ∩(𝑋>𝑐)]
4. 𝑃 (𝑎 < 𝑋 < 𝑏/𝑋 > 𝑐) =
𝑃 [𝑋>𝑐 ]
Examples:
1. 𝑋~𝑁(4,2) . Calculate𝑃 [𝑋 < 2] ?
Solution:

𝑋−4 2−4
𝑃 [𝑋 < 2] = 𝑃 [ < ] = 𝑃 [𝑍 < −1] = 1 − 𝑃
⏟[𝑍 < 1] = 0.1587
2 2
= 0.8413
2. 𝑋~𝑁(1,3) . Calculate𝑃 [0 < 𝑋 < 2/𝑋 > −2]?

𝑃[( 0<𝑋<2)∩( 𝑋>−2)] 𝑃[( 0<𝑋<2)] 𝑃[𝑋<2]−𝑃[𝑋<0]
𝑃 [0 < 𝑋 < 2/𝑋 > −2] = = [ = =
𝑃[𝑋>−2] 𝑃 𝑋>−2] 1−𝑃[𝑋<−2]
𝑋−1 2−1
𝑃[ < ]−𝑃[𝑋−1 <0−1] 1 −1
𝑃[𝑍< ]−𝑃[𝑍< ]
3 3 3 3 3 3
𝑋−1 −2−1 = = 0.31
1−𝑃[ < ] 1−𝑃[𝑍<−1]
3 3
EXERCISES
1. Consider 𝑍 a variable follows a standard normal distribution.
Calculate:
a. 𝑃 [𝑍 < 0] b. 𝑃 [0 < 𝑍 < 2] c. 𝑃[𝑍 > 2.21] d. 𝑃 [𝑍 > 2.73/𝑍 > 2] e. 𝑃 [𝑍 < 2.04]
f. 𝑃 [|𝑍| < 2]
2. Consider 𝑍 a variable follows a standard normal distribution. Determine 𝑧 ∈ 𝑅 in each follows
cases:
a. 𝑃 [|𝑍| < 𝑧] = 0.95 b. 𝑃 [|𝑍| < 𝑧] = 0.90 c. 𝑃 [|𝑍| < 𝑧] = 0.8238
d. 𝑃 [𝑧 < 𝑍 < 1] = 0.6826 e. 𝑃 [0 < 𝑍 < 𝑧] = 0.4878
3. Number of cars that pass through a car wash between 16:00 and 17:00 has the following
probability distribution the table below:
𝑋 4 5 6 7 8 9
𝑃(𝑥) 1⁄12 1⁄12 1⁄4 1⁄4 1⁄4 1⁄4
What is the expected number of cars washed?

4. Find the expected number of boys on a student committee of 3 selected at random from 4 boys
and 3 girls?
5. For the standard normal distribution, find the area:
a. between -1.27 and 1.86
b. below 1.7
c. above 1.18
d. between -0.47 and -0.35

3.4. Simple linear regression analysis.
General View
Very often in practice a relationship is found to exist between two or more variables. For example,
weights of adult males depend to some degree on their heights. It is frequently desirable to express
this relationship in mathematical form by determining an equation that connects the variables.
Regression analysis is a statistical technique that is used to solve these types of problems.
In simple linear regression, we attempt to model the relationship between two variables, for
example, income and number of years of education, height and weight of people, temperature and
output of an industrial process, altitude and boiling point of water, or dose of a drug and response.
Simple Linear Regression Model

The simple linear regression model for n observations can be written as
yi = 0 + 1 xi +  i , i = 1, 2, ,n
The designation simple indicates that there is only one explanatory variable x to predict the
response y , and linear means that the model (3.1) is linear in  0 and 1 . For example, a model
x
such as yi = 0 + 1 xi +  i is linear in  0 and 1, whereas the model yi =  0 + e 1 i +  i is not
2
linear. The variable x is referred to as independent variable and y is a dependent variable.

In this course, we assume that:
• yi and  i are random variables and
• xi , i = 1, 2, , n are known constants.
In addition, we make the following assumptions:
1) E ( i ) = 0 i = 1, 2, , n , or, equivalently E ( yi ) = 0 + 1 xi .
This states that yi depends only on xi , and that any other variation in yi is random.
2) Var ( i ) =  i = 1, 2, , n , or, equivalently Var ( yi ) =  2 .

2
This assumption asserts that the variance of  i or yi doesn´t depend on the value of xi . This
assumption is also known as the assumption of homoscedasticity, homogeneous variance or
constant variance.
3) cov ( i ,  j ) = 0 i  j , or, equivalently cov ( yi , y j ) = 0 .

Under this assumption, the  i´ s variables (as well as the yi´ s) are uncorrelated each other.
Estimation of 0 , 1
The Least Squares Method
Using the random sample of n observations yi , i = 1, 2, , n and the fixed constants
xi , i = 1, 2, , n , we seek estimators  0 and  1 that minimize the sum of squares of the deviations
di = yi − y i of the n observed values yi , i = 1, 2, , n from their predicted values y i =  0 +  1 xi
. In fact, for a given value xi , i = 1, 2, , n , there will be a difference between the observed value
yi , i = 1, 2, , n and the corresponding value y i , i = 1, 2, , n as determined from the fitted or
estimated regression line given by

y =  0 +  1x
Figure 3.1 illustrates the situation.

The sum of the squares of the deviations of the observations from the true regression line is
( )
n n
L =  di2 =  yi −  0 −  1 xi
2
i =1 i =1
Figure 3.1: Deviations di = yi − y i , i = 1, 2, ,n
The least squares estimators of  0 and 1 , say  0 and  1 , must satisfy
L
( )
n
= −2 yi −  0 −  1 xi = 0
 0 i =1
L
( )
n
= −2 yi −  0 −  1 xi xi = 0
 1 i =1
Simplifying these equations leads to the following least squares normal equations:

n n
 yi = n  0 +  1  xi
i =1 i =1
n n n
 yi xi =  0  xi +  1  xi2
i =1 i =1 i =1
The solution to the normal equations results in the following least squares estimators  0 and  1
:
 n  n 
  yi    xi 
yi xi −  i =1   i =1 
n
 n
1 = i =1
2
 n 
  xi 
xi −  i =1 
n

i =1
2
n
n n
 yi x i
0 = i =1
− 1 i =1
n n
 ( x − x )( y − y )
n n
 yi xi − nx y i i
1 = i =1
= i =1
() ( x − x)
n n
 xi2 − n x
2 2
or
i
i =1 i =1
 0 = y − 1 x
n n
 xi y i
where x = i =1
and y = i =1
.
n n
Example
Table 3.1 gives the annual consumption ( y ) of 10 households each selected from a group of
households with a fixed personal income ( x ). Both income and consumption are measured in $
10,000. Fit the least squares regression line of y on x .
Table: Annual Consumption of 10 Households
Observation Consumption Income

i yi xi
1 4.6 5
2 3.6 4
3 4.6 6
4 6.6 8
5 7.6 8
6 5.6 7
7 5.6 6
8 8.6 9
9 8.6 10
10 9.6 12
Solution
Table 3.2 shows basic calculations to be done.
The regression model is yi = 0 + 1 xi +  i ; i = 1, 2, ,10 .
Using the results of Table, we obtain  0 = 0.4286 and  1 = 0.8095 .
The estimated regression line is y = 0.4286 + 0.8095 x .

Table 3.2: Basic Calculations.
yi xi xi2 xi yi yi2
4.6 5 25 23 21.16
3.6 4 16 14.4 12.96
4.6 6 36 27.6 21.16
6.6 8 64 52.8 43.56
7.6 8 64 60.8 57.76
5.6 7 49 39.2 31.36
5.6 6 36 33.6 31.36
8.6 9 81 77.4 73.96
8.6 10 100 86 73.96
9.6 12 144 115.2 92.16
10 10 10 10 10
 yi = 65
i =1
 xi = 75
i =1
 xi2 = 615
i =1
 xi yi = 530
i =1
y
i =1
2
i = 459.4
Figure 3.2 indicates the estimated regression line y = 0.4286 + 0.8095 x .

Figure 3.2: Estimated Regression Line y = 0.4286 + 0.8095 x .

Mathematics For Engineers III

Uploaded by

Copyright:

Available Formats

Mathematics For Engineers III

Uploaded by

Document Information

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Mathematics For Engineers III

Uploaded by

Copyright:

Available Formats

1.

Module Title: MATHEMATICS FOR ENGINEERS III (MAT 2165 )

7. ASSESSMENT PATTERN: CATS (2): 30%

1. Glyn James. (1999). Advanced modern engineering mathematics, 2 nd edition

Mathematics for Engineers III Prepared by Jean de Dieu NIYIGENA Page 2

1.1. Fourier series expansion

1.1.1. Periodic functions

Mathematics for Engineers III Prepared by Jean de Dieu NIYIGENA Page 3

A graph of the sine function, showing two complete periods.

If we have the following periodic function 𝑦 = 𝐴 sin 𝑛𝑥, then 𝐴 is an amplitude;

Mathematics for Engineers III Prepared by Jean de Dieu NIYIGENA Page 4

1.1.3. Non-sinusoidal periodic functions

Mathematics for Engineers III Prepared by Jean de Dieu NIYIGENA Page 5

1.1.4. Analytical description periodic function

1.1.5. Fourier ’s theorem and the Fourier coefficients

𝑓 (𝑥) = 𝐴0 + ∑ 𝐴𝑛 sin(𝑛𝑘𝑥 + ɸ𝑛 ) (2)

Where 𝐴0 is a constant term

where the Fourier coefficients 𝑎 𝑛 and 𝑏𝑛 are

Mathematics for Engineers III Prepared by Jean de Dieu NIYIGENA Page 7

Where m and n can assume any positive integer values

Mathematics for Engineers III Prepared by Jean de Dieu NIYIGENA Page 8

1 𝐿 𝑛𝜋𝑥 1 2𝜋 1 sin 𝑛𝑥 cos 𝑛𝑥 2𝜋

Mathematics for Engineers III Prepared by Jean de Dieu NIYIGENA Page 9

1.2.DIRICHLET’S CONDITIONS OF FOURIER’S SERIES CONVERGENCE

Mathematics for Engineers III Prepared by Jean de Dieu NIYIGENA Page 10

b) Yes e) No: because is infinitely discontinuity at

c) No: because is infinitely discontinuity at f) No: because has two values

1.3. HALF RANGE FOURIER SINE OR COSINE SERIES

FOR A HALF RANGE COSINE SERIES

Mathematics for Engineers III Prepared by Jean de Dieu NIYIGENA Page 11

FOR A HALF RANGE SINE SERIES

Mathematics for Engineers III Prepared by Jean de Dieu NIYIGENA Page 12

b) Half-range sine series expansion. Define the periodic function

Mathematics for Engineers III Prepared by Jean de Dieu NIYIGENA Page 13

Verify the Parseval’s identity

Mathematics for Engineers III Prepared by Jean de Dieu NIYIGENA Page 14

Let us assume the following conditions on𝑓(𝑥):

Mathematics for Engineers III Prepared by Jean de Dieu NIYIGENA Page 15

Fourier’s integral theorem can also be written in the forms

Mathematics for Engineers III Prepared by Jean de Dieu NIYIGENA Page 16

Example 9: Consider a rectangular pulse given by

Calculate its Fourier integral

In infinite series, we have

Then (*) becomes:

1.4.2. The Fourier transform

Mathematics for Engineers III Prepared by Jean de Dieu NIYIGENA Page 18

and let the parameter 𝑥 be zero, then

1.5.PROPERTIES OF TRANSFORMS OF SIMPLE FUNCTIONS.

Mathematics for Engineers III Prepared by Jean de Dieu NIYIGENA Page 19

Differentiating with respect to 𝑥 gives

Mathematics for Engineers III Prepared by Jean de Dieu NIYIGENA Page 20

Mathematics for Engineers III Prepared by Jean de Dieu NIYIGENA Page 21

Or, equivalently, by changing the dummy variable in the integration

Mathematics for Engineers III Prepared by Jean de Dieu NIYIGENA Page 22

𝓕{𝑭(𝒊𝒚)} = √2𝜋𝒇 (−𝒘)

Mathematics for Engineers III Prepared by Jean de Dieu NIYIGENA Page 23

Mathematics for Engineers III Prepared by Jean de Dieu NIYIGENA Page 24

Unit II PARTIAL DIFFERENTIAL EQUATIONS INCLUDING BOUNDARY

Mathematics for Engineers III Prepared by Jean de Dieu NIYIGENA Page 25